zbMATH — the first resource for mathematics   a & b logic and a
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reviewer cc MSC code ut uncontrolled term An algorithmic
introduction to numerical simulation of stochastic differential
equations. (English) Zbl 0979.65007 Summary: 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 convergen