Wolfram Language & System 10.0 (2014)|Legacy Documentation

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Accuracy of Approximation Schemes

Sampling from ItoProcess and StratonovichProcess are generically using strong approximation schemes of different orders of convergence.

    
Consider a vectorvalued Ito process with components and and convert it to a standard Ito process:
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Sample from the standard Ito process using different approximation schemes, and measure the residuals with the exact function of the Wiener process:
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