An algorithmic introduction to numerical simulation of stochastic differential equations

D.J. Higham

Research output: Contribution to journalArticle

1594 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)525-546
Number of pages21
JournalSIAM Review
Volume43
Issue number3
DOIs
Publication statusPublished - 2001

Keywords

  • Euler--Maruyama method
  • MATLAB
  • Milstein method
  • Monte Carlo
  • stochastic simulation
  • strong and weak convergence
  • computer science
  • applied mathematics

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