An introduction to SDE simulation

Details An introduction to SDE simulation An introduction to SDE simulation

2010-04-05

arxiv.org/abs/1004.0646v1

Mathematics

Numerical Analysis

27 pages, 3 figures, review article

Scientific paper

We outline the basic ideas and techniques underpinning the simulation of stochastic differential equations. In particular we focus on strong simulation and its context. We also provide illustratory examples and sample matlab algorithms for the reader to use and follow. Our target audience is advanced undergraduate and graduate students interested in learning about simulating stochastic differential equations. We try to address the FAQs we have encountered.

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