Algorithms 2010, 3(3), 216-223; doi:10.3390/a3030216
Article

Algorithmic Solution of Stochastic Differential Equations

email
Received: 17 May 2010; in revised form: 15 June 2010 / Accepted: 29 June 2010 / Published: 1 July 2010
(This article belongs to the Special Issue Algorithms for Applied Mathematics)
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract: This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.
Keywords: stochastic differential equations; strong solution; PDE-based algorithm
PDF Full-text Download PDF Full-Text [207 KB, uploaded 1 July 2010 10:38 CEST]

Export to BibTeX |
EndNote


MDPI and ACS Style

Schurz, H. Algorithmic Solution of Stochastic Differential Equations. Algorithms 2010, 3, 216-223.

AMA Style

Schurz H. Algorithmic Solution of Stochastic Differential Equations. Algorithms. 2010; 3(3):216-223.

Chicago/Turabian Style

Schurz, Henri. 2010. "Algorithmic Solution of Stochastic Differential Equations." Algorithms 3, no. 3: 216-223.

Algorithms EISSN 1999-4893 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert