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SIAM REVIEW . c 2001 Society for Industrial and Applied Mathematics Vol. 43, No. 3, pp. 525 546. An Algorithmic Introduction to Numerical Simulation of Stochastic Differential equations . Desmond J. Higham . Abstract. A practical and accessible introduction to numerical methods for stochastic di erential equations is given. The reader is assumed to be familiar with Euler's method for de- terministic di erential 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.

SIAM REVIEW c 2001 Society for Industrial and Applied Mathematics Vol. 43,No. 3,pp. 525–546 AnAlgorithmicIntroductionto NumericalSimulationof StochasticDifferential Equations∗ Desmond J. Higham† Abstract.A practical and accessible introduction to numerical methods for stochastic differential

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