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Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)

Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)
By Peter E. Kloeden, Eckhard Platen

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Product Description

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. The book proposes to the reader whose background knowledge is limited to undergraduate level methods for engineering and physics, and easily accessible introductions to SDE and then applications as well as the numerical methods for dealing with them. To help the reader develop an intuitive understanding and hand-on numerical skills, numerous exercises including PC-exercises are included.

Product Details

  • Amazon Sales Rank: #177665 in Books
  • Published on: 1992-08-01
  • Original language: English
  • Number of items: 1
  • Binding: Hardcover
  • 636 pages

Customer Reviews

Deep, Thorough, Self Contained Numerical SDE Book5
This Book is a self-contained reference for numerical solution of SDEs. The book is really helpful for graduate students researching stochastic processes and in need for a robust reference to help them solve SDEs numerically. Suitable for graduate students in mathematics/applied mathematics/financial mathemtics/physics/ etc... Recommended