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This is a computer experimental introduction to the numerical solution of stochastic differential equations. A downloadable software software containing programs for over 100 problems is provided at one of the following homepages: http://www.math.uni-frankfurt.de/numerik/kloeden/ http://www.business.uts.edu.au/finance/staff/eckard.html http://www.math.siu.edu/schurz/SOFTWARE/ to enable the reader to develop an intuitive understanding of the issues involved. Applications include stochastic dynamical systems, filtering, parametric estimation and finance modeling. The book is intended for readers without specialist stochastic background who want to apply such numerical methods to stochastic differential equations that arise in their own field. It can also be used as an introductory textbook for upper-level undergraduate or graduate students in engineering, physics and economics.
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Previews available in: English
Subjects
Numerical solutions, Stochastic differential equations, Data processing, Applications of Computing, Differential equations, Mathematical theory of computation, Stochastics, Science/Mathematics, Stochastic Processes, Mathematics, Computer Books: General, Number Systems, Probability & Statistics - General, Computer Experiment, Mathematics / Statistics, Mathematics : Number Systems, SDE, discrete time approximations, higher order numerical schemes, numerical simulation, stochastic Taylor expansion, Numerical analysis, Distribution (Probability theory), Probability Theory and Stochastic ProcessesShowing 4 featured editions. View all 4 editions?
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1
Numerical Solution of SDE Through Computer Experiments
2012, Springer
in English
3642579132 9783642579134
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2
Numerical Solution of SDE Through Computer Experiments (Universitext)
January 31, 2003, Springer
Paperback
in English
- 1st ed. 1994. Corr. 3rd printing edition
3540570748 9783540570745
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3
Numerical solution of SDE through computer experiments
1997, Springer
in English
- Corr. 2nd print.
3540570748 9783540570745
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4
Numerical solution of SDE through computer experiments
1994, Springer-Verlag
in English
3540570748 9783540570745
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Book Details
Edition Notes
Includes bibliographical references (p. [271]-278) and index.
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- Created April 1, 2008
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July 30, 2010 | Edited by IdentifierBot | added LibraryThing ID |
April 14, 2010 | Edited by Open Library Bot | Linked existing covers to the edition. |
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