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

Algorithmic Solution of Stochastic Differential Equations

Department of Mathematics, Southern Illinois University, 1245 Lincoln Drive, Carbondale, IL 62901, USA
Received: 17 May 2010 / Revised: 15 June 2010 / Accepted: 29 June 2010 / Published: 1 July 2010
(This article belongs to the Special Issue Algorithms for Applied Mathematics)
View Full-Text   |   Download PDF [207 KB, uploaded 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 stochastic differential equations; strong solution; PDE-based algorithm
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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MDPI and ACS Style

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

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