Continuous and Discrete Time Modeling

Abstract

As mentioned, the transition of a continuous time model into a discrete time model is not an easy issue. We discuss here various discretization procedures to turn continuous time into discrete time models. There are many methods to convert continuous time models into discrete time variants. The main discretization methods are the Euler method, the Milstein method and a new local linearization method. All those will be illustrated here to obtain discrete-time approximate models.