An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
Citations
2,864 citations
1,693 citations
1,146 citations
965 citations
849 citations
Cites methods from "An Algorithmic Introduction to Nume..."
...The evolution of each initial condition was accomplished through 10(2) steps of the Euler– Maruyama method [48,49] with a timestep of 10−3 using the double well potential in Fig....
[...]
References
8,639 citations
6,873 citations
6,284 citations
"An Algorithmic Introduction to Nume..." refers background in this paper
...For those inspired to learn more about SDEs and their numerical solution we recommend [6] as a comprehensive reference that includes the necessary material on probability and stochastic processes....
[...]
4,144 citations
"An Algorithmic Introduction to Nume..." refers background in this paper
...which arises in population dynamics [9]....
[...]
...Three other accessible references on SDEs are [1], [8], and [9], with the first two giving some discussion of numerical methods....
[...]
3,696 citations
"An Algorithmic Introduction to Nume..." refers methods in this paper
...The best way to learn is by example, so we have based this article around 10 MATLAB [3, 13] programs, using a philosophy similar to [14]....
[...]