Euler-Maruyama method for non-Wiener processes (opens in new tab)

Descriptions of complex physical or biological systems often include stochastic contributions, and these are commonly simulated using Wiener processes. In many cases however, non-Gaussian fluctuations may originate from non-Wiener processes which remain less explored. The Euler-Maruyama method of discretising stochastic differential equations to non-Wiener processes is generalised. Non-Gaussian noise generated from a subset of L\'evy processes c...