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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

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DiscretizationEuler methodInitial conditionList of numerical analysis topics

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
The truncated Euler–Maruyama method for stochastic differential delay equations
The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were… 
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… 
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… 
2012
2012
A Stochastic Delay Model for Pricing Corporate Liabilities
2011
2011
Serotonin mediates cross-modal reorganization of cortical circuits
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… 
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
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… 
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… 
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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