An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

Authors:
Desmond J. Higham.
Affiliations:
-
Venue:
SIAM Review
Year:
2001

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Abstract

A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler's method for deterministic differential equations and to have at least an intuitive feel for the concept of a random variable; however, no knowledge of advanced probability theory or stochastic processes is assumed. The article is built around $10$ MATLAB programs, and the topics covered include stochastic integration, the Euler--Maruyama method, Milstein's method, strong and weak convergence, linear stability, and the stochastic chain rule.