Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations is a scholarly work by Eric Vanden-Eijnden, published in 2018 in ''Memoirs of the American Mathematical Society''. The main subjects of the publication include Lyapunov function, mathematical analysis, discretization, Lipschitz function, Mathematical oncology, applied mathematics, mathematics, stochastic differential equation, and stochastic thermodynamics. The paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids.