has characteristic
is generalization of
stochastic system behaviour
continuous variable
progression with fixed time step
implicit method type
Euler method
Euler-Maruyama method
2011-05-09
http://identifiers.org/doi/10.1098/rspa.2003.1247
AZ
The Euler-Maruyama method is a method for the approximate numerical solution of a stochastic differential equation, which truncates the Ito and Stratonovich Taylor series of the exact solution after the first order stochastic terms. This converges to the Ito solution with strong global order accuracy 1/2 or weak global order accuracy 1. It is a simple generalization of the Euler method [http://identifiers.org/biomodels.kisao/KISAO_0000261] for ordinary differential equations to stochastic differential equations.
stochastic Euler scheme
stochastic differential equation problem
one-step method