Numerical Integration of SDEs: A Short Tutorial
Schaffter, Thomas
2010

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Abstract

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

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Title Numerical Integration of SDEs: A Short Tutorial
Author(s) Schaffter, Thomas
Date 2010
Publisher École Polytechnique Fédérale de Lausanne (EPFL)
Keywords
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Laboratories LIS
Record Appears in Scientific production and competences > STI - School of Engineering > IEM - Institut d'Electricité et de Microtechnique > LIS - Laboratory of Intelligent Systems
Work produced at EPFL
Technical Reports
Published
Record creation date 2010-01-19

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