Is there any one can provide me some references that handle numerical examples of solving Stochastic Differential Equations SDE by Ito Taylor expansion method.
Ito Taylor expansion examples
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ordinary-differential-equations
stochastic-processes
taylor-expansion
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0How does this method work...? Never heard of it before. – 2017-02-15
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1@ saz, Take a look at the book "Numerical Solution of Stochastic Differ- ential Equations", of the authors P. E. Kloeden and E. Platen, section 10.6 www.springer.com/la/book/9783540540625. – 2017-02-15