nhattan417/HighamNumericalSDEJulia

An Introduction to the Numerical Simulation of Stochastic Differential Equations - Desmond J. Higham & Peter E. Kloeden - Julia code

Higham Numerical SDE Julia

• Book: An Introduction to the Numerical Simulation of Stochastic Differential Equations - Desmond J. Higham & Peter E. Kloeden
• Language: Julia
• Description: These are summer 2024 exercises to learn numerical methods for SDEs and rewrite Matlab code in the book as well as doing exercises using Julia.

Table of contents

Chapter 1

• P1.1
• P1.2

Chapter 2

• P2.1
• P2.2

Chapter 3

• P3.1
• P3.2

Chapter 4

• P4.1
• P4.2

Chapter 5

• P5.1
• P5.2

Chapter 6

• P6.1
• P6.2

Chapter 7

• Skip

Chapter 8

• P8.1
• P8.2
• Extra: Double-check using python

Chapter 9

• P9.1
• P9.2

Version control

• Last updated: 25th August 2024. Up to chapter 9.