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4. Digital EDS integration
We'll see that ODE integration methods can be adapted for the numerical calculation of EDS, but that in this case their order (i.e. their speed of convergence) is lower when applied to ODEs. We'll start by considering Eurler's method, comparing its behavior in the deterministic and stochastic cases. We'll then look at the Milstein method and the Runge-Kutta method, which are more sophisticated but preferable to it.
4.1 A reminder of EDO digital integration
To integrate EDOs of the form
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Digital EDS integration
Estimation of EDS parameters
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