Numerical Integration of Stochastic Differential Equations

Inhaltsverzeichnis

• 1. Mean-square approximation of solutions of systems of stochastic differential equations.
• 2. Modeling of Itô integrals.
• 3. Weak approximation of solutions of systems of stochastic differential equations.
• 4. Application of the numerical integration of stochastic equations for the Monte-Carlo computation of Wiener integrals.