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- Euler–Maruyama_method abstract "In mathematics, the Euler–Maruyama method is a method for the approximate numerical solution of a stochastic differential equation (SDE). It is a simple generalization of the Euler method for ordinary differential equations to stochastic differential equations. It is named after Leonhard Euler and Gisiro Maruyama.Consider the stochastic differential equation (see Itō calculus)with initial condition X0 = x0, where Wt stands for the Wiener process, and suppose that we wish to solve this SDE on some interval of time [0, T]. Then the Euler–Maruyama approximation to the true solution X is the Markov chain Y defined as follows: partition the interval [0, T] into N equal subintervals of width set Y0 = x0; recursively define Yn for 1 ≤ n ≤ N bywhereThe random variables ΔWn are independent and identically distributed normal random variables with expected value zero and variance .".
- Euler–Maruyama_method wikiPageID "7139118".
- Euler–Maruyama_method wikiPageRevisionID "601467368".
- Euler–Maruyama_method subject Category:Numerical_differential_equations.
- Euler–Maruyama_method subject Category:Stochastic_differential_equations.
- Euler–Maruyama_method comment "In mathematics, the Euler–Maruyama method is a method for the approximate numerical solution of a stochastic differential equation (SDE). It is a simple generalization of the Euler method for ordinary differential equations to stochastic differential equations.".
- Euler–Maruyama_method label "Euler-Maruyama-Verfahren".
- Euler–Maruyama_method label "Euler–Maruyama method".
- Euler–Maruyama_method sameAs Euler%E2%80%93Maruyama_method.
- Euler–Maruyama_method sameAs Euler-Maruyama-Verfahren.
- Euler–Maruyama_method sameAs Q761604.
- Euler–Maruyama_method sameAs Q761604.
- Euler–Maruyama_method wasDerivedFrom Euler–Maruyama_method?oldid=601467368.