Stochastic Differential Equations: Theory and Practice of Numerical Solution. With Programs on PYTHON and MATLAB

Understand

This monograph is devoted to the problem of numerical integration of stochastic differential equations (SDEs), mainly Ito SDEs.

• More precisely, the book mainly discusses high-order strong numerical methods with orders of accuracy 1.0, 1.5, 2.0, 2.5, and 3.0 for SDEs.
• The Euler (Euler-Maruyama) method for Ito SDEs is also considered.
• Moreover, weak numerical methods for Ito SDEs are presented.