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AnAlgorithmicIntroductionto NumericalSimulationof ...
www.caam.rice.eduSIAM 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