Euler-Maruyama method
= Euler-Maruyama method
{c}
{wiki=Euler–Maruyama_method}
For $dX_t=a(X_t)dt+\sigma(X_t)dW_t$, the Euler-Maruyama method advances
$$
X_{n+1}=X_n+a(X_n)\Delta t+\sigma(X_n)\Delta W_n,
$$
where $\Delta W_n\sim N(0,\Delta t)$.
= Euler-Maruyama method
{c}
{wiki=Euler–Maruyama_method}
For $dX_t=a(X_t)dt+\sigma(X_t)dW_t$, the Euler-Maruyama method advances
$$
X_{n+1}=X_n+a(X_n)\Delta t+\sigma(X_n)\Delta W_n,
$$
where $\Delta W_n\sim N(0,\Delta t)$.