Simulating Stochastic Differential Equations

Numerical simulation of a stochastic differential equation requires consideration of the stochastic effects. An extension of Euler's Method (the Euler-Maruyama method) allows for numerical computation for individual solution trajectories for stochastic differential equations. This chapter applies a workflow (Do Once → Do several times → Summarize → Visualize) to visualize ensemble average solutions for stochastic differential equations and compute associated statistics of the solution trajectories.