%0 Journal Article
%T -
%J Journal of Science,University of Tehran(not publish)
%I
%Z
%D 2004
%\ 07/22/2004
%V 3
%N 0
%P -
%! -
%K Ito Integral
%K Stochastic Diffrerntial Equations
%K white noise
%K Wiener Process
%R
%X We will introduce the Euler-Maruyama and Milstein Methods. By using pseudo-random number and implementing the Ito integral we will present an efficient algorithm for the pathwise numerical approximation of solutions to stochastic differential equations.
In the last section we will show the efficiceny of the algorithm by presenting the numerical results for some test problems.
%U https://jos.ut.ac.ir/article_16796_362bb07b6d78f0198dfb0fe7e5465987.pdf