Numerical Solution of Sde Through Computer Experiments

Platen Eckhard Kloeden Peter

ISBN 10: 0387570748 / ISBN 13: 9780387570747

Published by Springer

About this Item

pp. 292.

Seller Inventory # 183123450

Bibliographic Details

• Title: Numerical Solution of Sde Through Computer Experiments
• Publisher: Springer
• ISBN 10: 0387570748
• ISBN 13: 9780387570747
• Condition: New

About this title

Synopsis

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.