Numerical Integration of SDEs: A Short Tutorial
نویسنده
چکیده
dXt dt = f(Xt, t)dt+ g(Xt, t)dWt (1) where Xt = X(t) is the realization of a stochastic process or random variable. f(Xt, t) is called the drift coefficient, that is the deterministic part of the SDE characterizing the local trend. g(Xt, t) denotes the diffusion coefficient, that is the stochastic part which influences the average size of the fluctuations of X. The fluctuations themselves originate from the stochastic process Wt called Wiener process and introduced in Section 1.2. Interpreted as an integral, one gets
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