The DOI matches its Crossref record; 73 of the 73 references it cites were found in a registry or an index.
An introduction to numerical methods for stochastic differential equations
Abstract
This paper aims to give an overview and summary of numerical methods for the solution of stochastic differential equations. It covers discrete time strong and weak approximation methods that are suitable for different applications. A range of approaches and results is discussed within a unified framework. On the one hand, these methods can be interpreted as generalizing the well-developed theory on numerical analysis for deterministic ordinary differential equations. On the other hand they highlight the specific stochastic nature of the equations. In some cases these methods lead to completely new and challenging problems.
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Citations
Cites
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Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
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Numerical Solution of Stochastic Differential Equations
Kloeden, P. E., & Platen, E. (1992) · Springer eBooks · doi:10.1007/978-3-662-12616-5 · Cited by 5,060
Self-citationNumerical solution of stochastic differential equations
(2016) · doi:10.5194/gmd-2016-45-rc1 · Cited by 5,002
Stochastic Integration and Differential Equations
Protter, P. E. (2005) · Stochastic Modelling and Applied Probability · doi:10.1007/978-3-662-10061-5 · Cited by 4,583
Metadata
- Authors
- Platen, E.
- Venue
- Acta Numerica
- Publisher
- Cambridge University Press (CUP)
- Published
- 1999-01
- Volume
- 8
- Pages
- 197-246
- ISSN
- 0962-4929 (ISSN-L)
- 1474-0508
- OpenAlex
- W1521946947
- Cited by
- 273
- References
- 73
- FWCI
- 8.42
- Type
- journal article
- Language
- en
- Open access
- closed
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- Platen, E. (1999). An introduction to numerical methods for stochastic differential equations. Acta Numerica. https://doi.org/10.1017/s0962492900002920
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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