Numerical Integration of Stochastic Differential Equations

@inproceedings{Seydel2004NumericalIO,
  title={Numerical Integration of Stochastic Differential Equations},
  author={R. Seydel},
  year={2004}
}
This chapter provides an introduction into the numerical integration of stochastic differential equations (SDEs). Again X t denotes a stochastic process and solution of an SDE, $$\frac{{\partial y}}{{\partial \tau }} = \frac{{{\partial ^2}y}}{{\partial {x^2}}}$$ 
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