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2008•Unpublished venueRequires access

Solution of Stochastic Differential Equations

Hieu Trung Huynh, Van Son Lai, Issouf Soumaré

Open publisher page 24 citations

Abstract

This chapter contains sections titled: Introduction to Stochastic Calculus Introduction to Stochastic Differential Equations Introduction to Stochastic Processes with Jumps Numerical Solutions of Some Stochastic Differential Equations (SDE) Application Case: Generation of a Stochastic Differential Equation using the Euler and Milstein Schemes Application Case: Simulation of a Stochastic Differential Equation with Control and Antithetic Variables Application Case: Generation of a Stochastic Differential Equation with Jumps

About this research paper

What this paper is about

This chapter contains sections titled: Introduction to Stochastic Calculus Introduction to Stochastic Differential Equations Introduction to Stochastic Processes with Jumps Numerical Solutions of Some Stochastic Differential Equations (SDE) Application Case: Generation of a Stochastic Differential Equation using the Euler and Milstein Schemes Application Case: Simulation of a Stochastic Differential Equation with Control and Antithetic Variables Application Case: Generation of a Stochastic Differential Equation with Jumps

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OpenAlex reports 24 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This chapter contains sections titled: Introduction to Stochastic Calculus Introduction to Stochastic Differential Equations Introduction to Stochastic Processes with Jumps Numerical Solutions of Some Stochastic Differential Equations (SDE) Application Case: Generation of a Stochastic Differential Equation using the Euler and Milstein Schemes Application Case: Simulation of a Stochastic Differential Equation with Control and Antithetic Variables Application Case: Generation of a Stochastic Differential Equation with Jumps

Key concepts: Stochastic differential equation, Stochastic partial differential equation, Mathematics, Runge–Kutta method, Malliavin calculus, Differential equation, Applied mathematics, Continuous-time stochastic process

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