<t>QuoteOriginally posted by: StaleQuoteOriginally posted by: dongta...2. Between solving a stochastic equation and its corresponding Fokker-Planck equation, which one is easier to compute? Which are the widely used numerical methods?Thanks.MC simulations in several dimensions are computational inte...

<t>I am reading about the constant diffusion transformation (Glasserman p.373 & Jackel p.33). It is a good method to use in Monte Carlo since it makes predictor-corrector particularly easy. However, equation I think (4.36) in Jackel should read:I have implemented this CEV Monte Carlo process in ...