Numerical methods for stochastic differential equations.
- Kloeden, Peter E.
- Platen, Eckhard
2010 Mathematics Subject Classification
- Stochastic differential equations, numerical stimulations
Numerical methods for stochastic differential equations, including Taylor expansion approximations, Runge-Kutta like methods and implicit methods, are summarized. Important differences between simulation techniques with respect to the strong (pathwise) and the weak (distributional) approximation criteria are discussed. Applications to the visualization of nonlinear stochastic dynamics. the computation of Lyapunov exponents and stochastic bifurcations are also presented.