I want to simulate a nonlinear stochastic differential equation$${\rm d}X_t = f(X_t) {\rm d}t + g(X_t){\rm d}B_t$$where $f,g \in C^{\infty}({\mathbb R}^n ,{\mathbb R})$ and $B_t$ is one-dimensional standard brownian motion. How can I do it by MATLAB? A good simulation file for a similar equation might be helpful.
Examples of numerical solution of stochastic differential equation(SDE)?
numerical analysis;stochastic
Check out this paper by Des Higham and the SDETools MATLAB toolbox.