Algorithmic Solution of Stochastic Differential Equations
Abstract
:1. Introduction
2. The Linear PDE-Based Algorithm
2.1. The algorithm for Itô SDEs
2.2. The algorithm for Stratonovich SDEs
3. Examples
3.1. Linear equations: geometric Brownian motion
3.2. Bernoulli-type and logistic equations
3.3. A nonlinear example (pure Stratonovich diffusions)
Acknowledgements
Appendix: Itô Formula, Linear Solutions of SDEs and a Remark on Nonlinear Versions
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Schurz, H. Algorithmic Solution of Stochastic Differential Equations. Algorithms 2010, 3, 216-223. https://doi.org/10.3390/a3030216
Schurz H. Algorithmic Solution of Stochastic Differential Equations. Algorithms. 2010; 3(3):216-223. https://doi.org/10.3390/a3030216
Chicago/Turabian StyleSchurz, Henri. 2010. "Algorithmic Solution of Stochastic Differential Equations" Algorithms 3, no. 3: 216-223. https://doi.org/10.3390/a3030216