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An Introduction to the Numerical Simulation of Stochastic Differential Equations - Desmond J. Higham & Peter E. Kloeden - Julia code

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Higham Numerical SDE Julia

  • Book: An Introduction to the Numerical Simulation of Stochastic Differential Equations - Desmond J. Higham & Peter E. Kloeden
  • Language: Julia
  • Description: These are summer 2024 exercises to learn numerical methods for SDEs and rewrite Matlab code in the book as well as doing exercises using Julia.

Table of contents

Chapter 1
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7
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Chapter 8
Chapter 9

Version control

  • Last updated: 25th August 2024. Up to chapter 9.

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An Introduction to the Numerical Simulation of Stochastic Differential Equations - Desmond J. Higham & Peter E. Kloeden - Julia code

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