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Algorithmic Solution of Stochastic Differential Equations
Department of Mathematics, Southern Illinois University, 1245 Lincoln Drive, Carbondale, IL 62901, USA
Received: 17 May 2010; in revised form: 15 June 2010 / Accepted: 29 June 2010 / Published: 1 July 2010
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
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MDPI and ACS Style
Schurz, H. Algorithmic Solution of Stochastic Differential Equations. Algorithms 2010, 3, 216-223.
Schurz H. Algorithmic Solution of Stochastic Differential Equations. Algorithms. 2010; 3(3):216-223.
Schurz, Henri. 2010. "Algorithmic Solution of Stochastic Differential Equations." Algorithms 3, no. 3: 216-223.