生成维纳过程的参考文献
时间: 2024-05-26 10:14:20 浏览: 102
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以下是一些关于维纳过程的生成方法的参考文献:
1. Higham, D. J. (2001). An algorithmic introduction to numerical simulation of stochastic differential equations. SIAM review, 43(3), 525-546.
2. Kloeden, P. E., & Platen, E. (1992). Numerical solution of stochastic differential equations (Vol. 23). Springer Science & Business Media.
3. Milstein, G. N. (2004). Stochastic numerics for mathematical physics. Springer Science & Business Media.
4. Platen, E., & Heath, D. (2006). A benchmark approach to quantitative finance (Vol. 68). Springer Science & Business Media.
5. Sørensen, M. (2004). Simulation of fractional Brownian motion and related processes. PhD Thesis, Technical University of Denmark, Lyngby, Denmark.
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