Abstract
This chapter provides an introduction into the numerical integration of stochastic differential equations (SDEs). Again X t denotes a stochastic process and solution of an SDE,
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© 2002 Springer-Verlag Berlin Heidelberg
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Seydel, R. (2002). Numerical Integration of Stochastic Differential Equations. In: Tools for Computational Finance. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04711-8_3
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DOI: https://doi.org/10.1007/978-3-662-04711-8_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-43609-6
Online ISBN: 978-3-662-04711-8
eBook Packages: Springer Book Archive