Stochasticdifferential Equations

AnAlgorithmicIntroductionto NumericalSimulationof ...

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

  Equations, Stochasticdifferential equations, Stochasticdifferential