Numerical methods for simulation of stochastic differential equations
Abstract In this paper we are concerned with numerical methods to solve stochastic differential equations (SDEs), namely the Euler-Maruyama (EM) and Milstein methods. These methods are based on the truncated Ito-Taylor expansion. In our study we deal with a nonlinear SDE. We approximate to numerical...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
SpringerOpen
2018-01-01
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| coleção: | Advances in Difference Equations |
| Assuntos: | |
| Acesso em linha: | http://link.springer.com/article/10.1186/s13662-018-1466-5 |
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