随机微分方程数值解.pdfVIP

c SIAM REVIEW 2001 Society for Industrial and Applied Mathematics Vol. 43 ,No. 3 ,pp. 525–546 An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations∗ Desmond J. Higham† Abstract. A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler’s method for de- terminis