Closed jacobnzw closed 5 years ago
Currently I'm simulating an SDE using an ODE integration method, which isn't correct.
The simplest simulation method is the Euler-Maruyama (others can be found in literature).
Currently I'm simulating an SDE using an ODE integration method, which isn't correct.
The simplest simulation method is the Euler-Maruyama (others can be found in literature).