Nicolau, João2023-04-052023-04-052005Nicolau, João .(2005). “Method for simulating non-linear stochastic differential equations in R¹”. Journal of Statistical Computation and Simulation, Vol. 75, No. 8: pp. 595–609 .(Search PDF in 2023).http://hdl.handle.net/10400.5/27590Very few specific stochastic differential equations have explicitly known solutions. The most common procedure to obtain a simulated path of a solution is based on a discretization of the stochastic differential equations. However, there are some cases where the discrete-time discretization cannot be used. In this article, we propose a new method to simulate the solution of a non-linear stochastic differential equation, which, in principle, is exempt from error of simulation and can be widely applied including in cases where the discrete-time discretization cannot be used.engDiffusion ProcessesStatistical Simulation MethodsSimulation-based MethodsEstimationTransition Density Estimationjournal article10.1080/00949650410001687235