Academic
Publications
Numerical solution of stochastic differential equations

Numerical solution of stochastic differential equations,P. E. Kloeden,E. Platen

Numerical solution of stochastic differential equations   (Citations: 1795)
BibTex | RIS | RefWorks Download
Published in 1992.
Cumulative Annual
    • ...The synthetic data are generated by a Euler–Maruyama discretization scheme (see Kloeden and Platen 1999)...

    Hamad Alsayedet al. Optimal portfolio selection in nonlinear arbitrage spreads

    • ...referred to as a sub-class of diffusion processes whose diffusion term D is independent of state x (Klöden and Platen 1992)...
    • ...1 .I n this work the continuous-time SDE is discretised using an explicit Euler‐Maruyama scheme (Klöden and Platen 1992)...

    Yuan Shenet al. Variational Markov chain Monte Carlo for Bayesian smoothing of non-lin...

  • Sort by: