Numerical Solution of Sde Through Computer Experiments (Universitext) - Softcover

Kloeden, Peter; Platen, Eckhard; Schurz, Henri

Softcover

ISBN 10: 0387570748 ISBN 13: 9780387570747

Publisher: Springer Verlag, 1997

Synopsis

This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.

About this title

From the Back Cover

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.

Edition details

• Publisher: Springer Verlag
• Publication date: 1997
• ISBN 10: 0387570748
• ISBN 13: 9780387570747
• Binding: Paperback
• Language: English
• Number of pages: 292