Algorithmic Introduction to Numerical Stochastic DiffEQs

Version 1.1 (7.51 KB) by Dani A

Code associated with Higham paper: An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

https://github.com/JosriqueJotaro/An-Algorithmic-Introduction-to-Numerical-Simulation-of-Stochast...

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Code associated with the paper "An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations" by Desmond J. Higham. Original link given in paper (http://www.maths.strath.ac.uk/~aas96106/algfiles.html) has been deprecated.

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Dani A (2026). Algorithmic Introduction to Numerical Stochastic DiffEQs (https://github.com/JosriqueJotaro/An-Algorithmic-Introduction-to-Numerical-Simulation-of-Stochastic-Differential-Equations/releases/tag/v1.1), GitHub. Retrieved February 21, 2026.

Higham., Desmond J. “An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations.” SIAM Review, vol. 43, no. 3, Society for Industrial & Applied Mathematics (SIAM), Jan. 2001, pp. 525–46, doi:10.1137/s0036144500378302.

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Version	Published	Release Notes
1.1	21 Sep 2022	See release notes for this release on GitHub: https://github.com/JosriqueJotaro/An-Algorithmic-Introduction-to-Numerical-Simulation-of-Stochastic-Differential-Equations/releases/tag/v1.1	Download
1.0	21 Sep 2022	See release notes for this release on GitHub: https://github.com/JosriqueJotaro/An-Algorithmic-Introduction-to-Numerical-Simulation-of-Stochastic-Differential-Equations/releases/tag/v1.0	Download

To view or report issues in this GitHub add-on, visit the GitHub Repository.

MLA	Higham., Desmond J. “An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations.” SIAM Review, vol. 43, no. 3, Society for Industrial & Applied Mathematics (SIAM), Jan. 2001, pp. 525–46, doi:10.1137/s0036144500378302.
APA	Higham., D. J. (2001). An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations. SIAM Review, 43(3), 525–546. Society for Industrial & Applied Mathematics (SIAM). Retrieved from https://doi.org/10.1137%2Fs0036144500378302
BibTeX	@article{Higham__2001, doi = {10.1137/s0036144500378302}, url = {https://doi.org/10.1137%2Fs0036144500378302}, year = 2001, month = {jan}, publisher = {Society for Industrial {\&} Applied Mathematics ({SIAM})}, volume = {43}, number = {3}, pages = {525--546}, author = {Desmond J. Higham.}, title = {An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations}, journal = {{SIAM} Review} }

Algorithmic Introduction to Numerical Stochastic DiffEQs

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