The DOI matches its Crossref record; 13 of the 13 references it cites were found in a registry or an index.
An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
Abstract
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 deterministic differential equations and to have at least an intuitive feel for the concept of a random variable; however, no knowledge of advanced probability theory or stochastic processes is assumed. The article is built around 10 MATLAB programs, and the topics covered include stochastic integration, the Euler–Maruyama method, Milstein’s method, strong and weak convergence, linear stability, and the stochastic chain rule.
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Cites
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
“Options, Futures, and Other Derivatives”
(2016) · AMBER – ABBS Management Business and Entrepreneurship Review · doi:10.23874/amber/2016/v7/i1/121351 · Cited by 5,007
Numerical solution of stochastic differential equations
(2016) · doi:10.5194/gmd-2016-45-rc1 · Cited by 5,002
Stochastic differential equations and applications
Mao, X. (2008) · Woodhead Publishing Limited eBooks · doi:10.1533/9780857099402 · Cited by 4,589
Trefethen, L. N. (2000) · Society for Industrial and Applied Mathematics eBooks · doi:10.1137/1.9780898719598 · Cited by 4,458
Options, Futures and Other Derivatives
Kariya, T., & Liu, R. Y. (2003) · Asset Pricing · doi:10.1007/978-1-4419-9230-7_2 · Cited by 3,864
Stochastic Differential Equations
Øksendal, B. (2003) · Universitext · doi:10.1007/978-3-642-14394-6_5 · Cited by 3,081
Brownian Motion and Stochastic Calculus
Karatzas, I., & Shreve, S. E. (1998) · Graduate Texts in Mathematics · doi:10.1007/978-1-4612-0949-2 · Cited by 2,038
Stochastic differential equations and applications
Rota, G.-C. (1977) · Advances in Mathematics · doi:10.1016/0001-8708(77)90127-x · Cited by 1,158
Stochastic Processes in Polymeric Fluids: Tools and Examples for Developing Simulation Algorithms
Öttinger, H. C. (1996) · Springer eBooks · doi:10.1007/978-3-642-58290-5 · Cited by 813
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Rackauckas, C., & Nie, Q. (2017) · Journal of Open Research Software · doi:10.5334/jors.151 · Cited by 1,636
Fault Detection Filtering for Nonlinear Switched Stochastic Systems
Su, X., Shi, P., Wu, L., & Song, Y.-D. (2016) · IEEE Transactions on Automatic Control · doi:10.1109/tac.2015.2465091 · Cited by 517
Modeling and Simulating Chemical Reactions
Higham, D. J. (2008) · SIAM Review · doi:10.1137/060666457 · Cited by 353
Self-citationPapili Gao, N., Ud-Dean, S. M. M., Gandrillon, O., & Gunawan, R. (2018) · Bioinformatics · doi:10.1093/bioinformatics/btx575 · Cited by 235
Wieczorek, P. Z., & Golofit, K. (2018) · IEEE Transactions on Circuits and Systems I: Regular Papers · doi:10.1109/tcsi.2017.2751144 · Cited by 53
Metadata
- Authors
- Higham, D. J.
- Venue
- SIAM Review
- Published
- 2001-01-01
- Volume
- 43
- Issue
- 3
- Pages
- 525-546
- ISSN
- 0036-1445 (ISSN-L)
- 1095-7200
- OpenAlex
- W2145137020
- Cited by
- 3,154
- References
- 13
- FWCI
- 16.28
- Type
- journal article
- Language
- en
- Open access
- closed
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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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