Picture of athlete cycling

Open Access research with a real impact on health...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the Physical Activity for Health Group based within the School of Psychological Sciences & Health. Research here seeks to better understand how and why physical activity improves health, gain a better understanding of the amount, intensity, and type of physical activity needed for health benefits, and evaluate the effect of interventions to promote physical activity.

Explore open research content by Physical Activity for Health...

An algorithmic introduction to numerical simulation of stochastic differential equations

Higham, D.J. (2001) An algorithmic introduction to numerical simulation of stochastic differential equations. SIAM Review, 43 (3). pp. 525-546. ISSN 0036-1445

Full text not available in this repository. Request a copy from the Strathclyde author

Abstract

A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler's method for deterministic differential equations and to have at least an intuitive feel for the concept of a random variable; however, no knowledge of advanced probability theory or stochastic processes is assumed. The article is built around $10$ MATLAB programs, and the topics covered include stochastic integration, the Euler--Maruyama method, Milstein's method, strong and weak convergence, linear stability, and the stochastic chain rule.