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References

Stochastic Runge-Kutta and SDE numerics

  1. Kasdin, J. “Runge-Kutta algorithm for numerical integration of stochastic differential equations.” Journal of Guidance, Control, and Dynamics, 18(1), 114–120, 1995.

  2. Kasdin, J. “Discrete Simulation of Colored Noise and Stochastic Processes.” Proceedings of the IEEE, 83(5), 802–827, 1995.

  3. Kloeden, P. E., Platen, E. Numerical Solution of Stochastic Differential Equations. Springer, 1992.

Random number generation

  1. Bratley, P., Fox, B. L., Schrage, L. E. A Guide to Simulation. Springer, 1983 (pp. 201–202).

  2. L’Ecuyer, P. “Random Number Generation.” In: Handbook of Simulation, edited by J. Banks. Wiley Interscience, 1998 (p. 95).

  3. Fox, B. L. “Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators.” ACM Transactions on Mathematical Software, 12(4), 362–376, 1986.

  4. Lewis, P. A. W., Goodman, A. S., Miller, J. M. “A Pseudo-Random Number Generator for the System/360.” IBM Systems Journal, 8, 136–143, 1969.

Additional background

  1. Higham, D. J. “An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations.” SIAM Review, 43(3), 525–546, 2001.