Algorithmic Solution of Stochastic Differential Equations

doi:10.3390/a3030216

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

Article

Algorithmic Solution of Stochastic Differential Equations

Henri Schurz

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

(This article belongs to the Special Issue Algorithms for Applied Mathematics)

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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.

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.

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