Numerical Integration of SDEs: A Short Tutorial

Introduction to numerical methods to simulate systems of stochastic differential equations (SDEs) both in Ito and Stratonovich scheme.


Year:
2010
Publisher:
École Polytechnique Fédérale de Lausanne (EPFL)
Keywords:
Note:
wingx
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 Record created 2010-01-19, last modified 2018-03-17

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