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Quantitative Finance · Glosarium

Apa itu Euler–Maruyama scheme?

Dikenal juga sebagai: Euler--Maruyama scheme

Definition 4.3 Quantitative Methods · Bab 4 — Stochastic Differential Equations

The Euler–Maruyama scheme on the grid tk=kΔtt_k = k\Delta t is X^k+1=X^k+μ(tk,X^k)Δt+σ(tk,X^k)Δt Zk\hat X_{k+1} = \hat X_k + \mu(t_k, \hat X_k)\Delta t + \sigma(t_k, \hat X_k)\sqrt{\Delta t}\,Z_k, with ZkZ_k independent standard normals.

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