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MathGroup Archive 2006

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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


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