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Simulation of stochastic differential equations

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  • Yoshihiro Saito
  • Taketomo Mitsui

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Suggested Citation

  • Yoshihiro Saito & Taketomo Mitsui, 1993. "Simulation of stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 419-432, September.
    • Handle: RePEc:spr:aistmt:v:45:y:1993:i:3:p:419-432
    DOI: 10.1007/BF00773344
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    References listed on IDEAS

    as
    1. Liske, Horst & Platen, Eckhard, 1987. "Simulation studies on time discrete diffusion approximations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 29(3), pages 253-260.
    2. Janssen, R., 1984. "Discretization of the Wiener-process in difference-methods for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 18(2), pages 361-369, November.
    3. P. E. Kloeden & Eckhard Platen, 1989. "A survey of numerical methods for stochastic differential equations," Published Paper Series 1989-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    Citations

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    Cited by:

    1. Konstantin Rybakov, 2023. "Spectral Representations of Iterated Stochastic Integrals and Their Application for Modeling Nonlinear Stochastic Dynamics," Mathematics, MDPI, vol. 11(19), pages 1-23, September.
    2. Kamal Boukhetala & Arsalane Guidoum, 2011. "Sim.DiffProc: A Package for Simulation of Diffusion Processes in R," Working Papers hal-00629841, HAL.
    3. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. R. Biscay & J. Jimenez & J. Riera & P. Valdes, 1996. "Local Linearization method for the numerical solution of stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(4), pages 631-644, December.

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