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Numerical Solution of Stochastic Differential Equations: 23 (Stochastic Modelling and Applied Probability, 23) - Softcover
Synopsis
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. To help the reader develop an intuitive understanding and hands-on numerical skills, numerous exercises and PC-Exercises are included. The book is directed at a multi-disciplinary readership, consisting primarily of engineers, financial analysts, physicists and mathematicians developing numerical schemes for applications of SDEs, and also of researchers in other fields like biology, chemistry or economics who, with less mathematical background, wish to apply
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From the Back Cover
The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to peculiarities of stochastic calculus. This book provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasising the numerical methods needed to solve such equations. It assumes of the reader an undergraduate background in mathematical methods typical of engineers and physicists, though many chapters begin with a descriptive summary. The book is also accessible to others who only require numerical recipes. The stochastic Taylor expansion provides the basis for the discrete time numerical methods for differential equations. The book presents many new results on high-order methods for strong sample path approximations and for weak functional approximations, including implicit, predictor-corrector, extra-polation and variance-reduction methods. Besides serving as a basic text on such methods, the book offers the reader ready access to a large number of potential research problems in a field that is just beginning to expand rapidly and is widely applicable. To help the reader to develop an intuitive understanding of the underlying mathematics and hand-on numerical skills, exercises and over 100 PC-Exercises are included.
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- PublisherSpringer
- Publication date2010
- ISBN 10 364208107X
- ISBN 13 9783642081071
- BindingPaperback
- LanguageEnglish
- Number of pages672
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Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)
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Numerical Solution of Stochastic Differential Equations
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. The book is interdisciplinary in its appoach and orientationIt places equal emphasis on both theory and applicationsBesides serving as a basic text on stochastic differential equations it derives and discusses the numerical methods needed to solve s. Seller Inventory # 5047154
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Numerical Solution of Stochastic Differential Equations
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems. 676 pp. Englisch. Seller Inventory # 9783642081071
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Numerical Solution of Stochastic Differential Equations
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems. Seller Inventory # 9783642081071
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Numerical Solution of Stochastic Differential Equations
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Taschenbuch. Condition: Neu. Neuware -The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 676 pp. Englisch. Seller Inventory # 9783642081071
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