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Mathematics - Analysis | Numerical Solution of SDE Through Computer Experiments

Numerical Solution of SDE Through Computer Experiments

Series: Universitext

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

1994, XIV, 294 p.

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  • About this textbook

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

Related subjects » Analysis - Computational Science & Engineering - Probability Theory and Stochastic Processes

Table of contents 

1: Background on Probability and Statistics.- 1.1 Probability and Distributions.- 1.2 Random Number Generators.- 1.3 Moments and Conditional Expectations.- 1.4 Random Sequences.- 1.5 Testing Random Numbers.- 1.6 Markov Chains as Basic Stochastic Processes.- 1.7 Wiener Processes.- 2: Stochastic Differential Equations.- 2.1 Stochastic Integration.- 2.2 Stochastic Differential Equations.- 2.3 Stochastic Taylor Expansions.- 3: Introduction to Discrete Time Approximation.- 3.1 Numerical Methods for Ordinary Differential Equations.- 3.2 A Stochastic Discrete Time Simulation.- 3.3 Pathwise Approximation and Strong Convergence.- 3.4 Approximation of Moments and Weak Convergence.- 3.5 Numerical Stability.- 4: Strong Approximations.- 4.1 Strong Taylor Schemes.- 4.2 Explicit Strong Schemes.- 4.3 Implicit Strong Approximations.- 4.4 Simulation Studies.- 5: Weak Approximations.- 5.1 Weak Taylor Schemes.- 5.2 Explicit Weak Schemes and Extrapolation Methods.- 5.3 Implicit Weak Approximations.- 5.4 Simulation Studies.- 5.5 Variance Reducing Approximations.- 6: Applications.- 6.1 Visualization of Stochastic Dynamics.- 6.2 Testing Parametric Estimators.- 6.3 Filtering.- 6.4 Functional Integrals and Invariant Measures.- 6.5 Stochastic Stability and Bifurcation.- 6.6 Simulation in Finance.- References.- List of PC-Exercises.- Frequently Used Notations.

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