Re: Numerical solutions of SDE
- To: mathgroup at smc.vnet.net
- Subject: [mg64921] Re: [mg64874] Numerical solutions of SDE
- From: Andrzej Kozlowski <akoz at mimuw.edu.pl>
- Date: Tue, 7 Mar 2006 06:12:51 -0500 (EST)
- References: <200603061001.FAA05484@smc.vnet.net>
- Sender: owner-wri-mathgroup at wolfram.com
On 6 Mar 2006, at 11:01, Steeve Brechmann ((schumi)) wrote: > > Hi everyone, > > Does someone know where can i find some Mathematica program that > numerically solve stochastic differential equations (like the book > of Peter E. Kloeden : Numerical solutions of stochastic > differential equations) ? > > Regards, > > Steeve Brechmann It is quite easy to write such a program yourself but if you want something ready made you can find it in the book by Srdjan Sojanovic "Computational Financial Mathematics using Mathematica" published by Birkhauser. (Stojanovic only uses the Euler method which is nowhere near as sophisticated as what you can find in Kloeden's book but of course any method can be programmed in Mathematica in an analogous way). Andrzej Kozlowski
- References:
- Numerical solutions of SDE
- From: "Steeve Brechmann \(schumi\)" <steevebrechmann@yahoo.ca>
- Numerical solutions of SDE