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Numerical solution of stochastic differential equations

Author: Peter E Kloeden; Eckhard Platen
Publisher: Berlin ; New York : Springer, 1999.
Series: Applications of mathematics, 23.
Edition/Format:   Print book : English : Corr. 3rd printView all editions and formats
Database:WorldCat
Summary:

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs,  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Peter E Kloeden; Eckhard Platen
ISBN: 3540540628 9783540540625
OCLC Number: 43344211
Description: xxxvi, 636 pages : illustrations ; 25 cm.
Contents: 1. Probability and Statistics.- 2. Probability and Stochastic Processes.- 3. Ito Stochastic Calculus.- 4. Stochastic Differential Equations.- 5. Stochastic Taylor Expansions.- 6. Modelling with Stochastic Differential Equations.- 7. Applications of Stochastic Differential Equations.- 8. Time Discrete Approximation of Deterministic Differential Equations.- 9. Introduction to Stochastic Time Discrete Approximation.- 10. Strong Taylor Approximations.- 11. Explicit Strong Approximations.- 12. Implicit Strong Approximations.- 13. Selected Applications of Strong Approximations.- 14. Weak Taylor Approximations.- 15. Explicit and Implicit Weak Approximations.- 16. Variance Reduction Methods.- 17. Selected Applications of Weak Approximations.- Solutions of Exercises.- Bibliographical Notes.
Series Title: Applications of mathematics, 23.
Responsibility: Peter E. Kloeden, Eckhard Platen.
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"... the authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible. This was not Read more...

 
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