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Mathematical Communications, Vol. 4 No. 2, 1999.

Professional paper

Numerical solving of stochastic differential equations

R. Horváth Bokor

Full text: english pdf 86 Kb

page 251-256

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Abstract

This paper provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasizing the numerical methods needed to solve such equations.

Keywords

stochastic differential equations; strong solutions; numerical schemes

Hrčak ID:

878

URI

https://hrcak.srce.hr/878

Publication date:

11.12.1999.

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