Journal of Science,University of Tehran(not publish)3020040722--16796FAJournal Article19700101We 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.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.https://jos.ut.ac.ir/article_16796_362bb07b6d78f0198dfb0fe7e5465987.pdf