Kloeden, Peter Eris, Platen, Eckhard, Schurz, Henri
1994, XIV, 294 p.
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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:
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.
Content Level »Graduate
Keywords »Computer Experiment - SDE - discrete time approximations - higher order numerical schemes - numerical simulation - numerics - statistics - stochastic Taylor expansion - stochastic differential equations