An algorithmic introduction to numerical simulation of stochastic differential equations. Higham, D. J. SIAM review, 43:525–546, 2001.
bibtex   
@article{higham_algorithmic_2001,
	title = {An algorithmic introduction to numerical simulation of stochastic differential equations},
	volume = {43},
	journal = {SIAM review},
	author = {Higham, D. J.},
	year = {2001},
	pages = {525--546}
}
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