Numerical Solution of SDE Through Computer Experiments (Universitext)

Kloeden, Peter Eris; Platen, Eckhard; Schurz, Henri

ISBN 10: 3540570748 / ISBN 13: 9783540570745

Published by Springer, 1993

About this Item

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Bibliographic Details

Title: Numerical Solution of SDE Through Computer ...

Publisher: Springer

Publication Date: 1993

Binding: Soft cover

Condition: Good

Edition: 3rd Edition

About this title

Synopsis:

The 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 in their own fields. Furthermore, it creates an intuitive understanding of the necessary theoretical background from stochastic and numeric analysis. 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.

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.