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Question: How are SDEs integrated?

Question:How are SDEs integrated?

itsme 769 Maple
finance
July 20 2015
4

This question is probably for maple devs...

I was wondering if it would be possible to outline what algorithm is used to generate replications (realizations) for various processes by the Finance:-SamplePath command (and friends). For example in the code like this:

with(Finance):

X := WienerProcess();
A := SamplePath(X(t), t = 0 .. 1, timesteps = 100, replications = 20);

Is it the Euler-Maruyama method?

Alternatively maybe you can show the portion of the code that is responsible for the integration of the SDE that the Wiener process defines.

I can't find any details related to this information in the help, and it would be very helpful to know this (and more importantly have it in the help section).

Thanks!
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