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Euler–Maruyama method

Known as: Euler discretization, Euler-Maruyama, Euler−Maruyama method 
In mathematics, more precisely in Itô calculus, the Euler–Maruyama method, also called simply the Euler method, is a method for the approximate… 
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Related topics

Related topics

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DiscretizationEuler methodInitial conditionList of numerical analysis topics

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Euler-Maruyama Approximation for Mean-Reverting Regime Switching CEV Process
The mean-reverting constant elasticity of variance (CEV) process with regime switching is one of the most successful continuous… 
2014
2014
Convergence and stability of a numerical method for nonlinear stochastic pantograph equations
2012
2012
Efficient unbiased simulation scheme for SABR stochastic volatility model
The stochastic Alpha Beta Rho stochastic volatility (SABR-SV) model is widely used in the financial industry for the pricing of… 
2012
2012
Measuring the Irreversibility of Numerical Schemes for Reversible Stochastic Differential Equations
For a Markov process the detailed balance condition is equivalent to the time-reversibility of the process. For stochastic… 
2010
2010
On the local dynamics of polynomial difference equations with fading stochastic perturbations
We examine the stability-instability behaviour of a polynomial difference equa- tion with state-independent, asymptotically… 
2010
2010
Performance of Euler-Maruyama, 2-stage SRK and 4-stage SRK in approximating the strong solution of stochastic model
Stochastic differential equations play a prominent role in many application areas including finance, biology and epidemiology. By… 
2009
2009
Adaptive time stepping for explicit euler implementation of spherical and non-spherical particle speed up
Numerical implementation schemes of drag force effects on Lagrangian particles can lead to instabilities or inefficiencies if… 
2008
2008
A BPTT-Like Optimal Control Algorithm With Vehicle Dynamics Control Application
The paper presents a gradient-based numerical algorithm for optimal control of nonlinear multivariable systems with control and… 
2008
2008
CONVERGENCE ANALYSIS OF A SPLITTING METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS
(1) { dy(t) = f(y(t))dt + g(y(t))dW (t), 0 ≤ t ≤ T y(0) = y0 where T > 0 is the terminal time, y(t) : [0, T ]× Ω → R, f(y) : R… 
1987
1987
A Note on Extrapolation Methods for Second Order ODE Systems.
A slight modification of the extended Stoermer discretization for non self-adjoint second order ODE systems is derived on the… 
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