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Euler-Maruyama Method: Mathematics, Numerical Analysis, Stochastic Differential Equation - Couverture souple

 
9786131326097: Euler-Maruyama Method: Mathematics, Numerical Analysis, Stochastic Differential Equation

Synopsis

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In mathematics, the Euler-Maruyama method is a technique for the approximate numerical solution of a stochastic differential equation. It is a simple generalization of the Euler method for ordinary differential equations to stochastic differential equations. It is named after Leonhard Euler and Gisiro Maruyama.Note that the random variables ¿Wn are independent and identically distributed normal random variables with expected value zero and variance ¿.

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