Universitext

Numerical Solution of SDE Through Computer Experiments

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

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eBook $59.99
price for USA (gross)
  • ISBN 978-3-642-57913-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.95
price for USA
  • ISBN 978-3-540-57074-5
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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:

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.

Table of contents (6 chapters)

  • Background on Probability and Statistics

    Kloeden, Peter E. (et al.)

    Pages 1-61

  • Stochastic Differential Equations

    Kloeden, Peter E. (et al.)

    Pages 63-90

  • Introduction to Discrete Time Approximation

    Kloeden, Peter E. (et al.)

    Pages 91-137

  • Strong Approximations

    Kloeden, Peter E. (et al.)

    Pages 139-178

  • Weak Approximations

    Kloeden, Peter E. (et al.)

    Pages 179-217

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-642-57913-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.95
price for USA
  • ISBN 978-3-540-57074-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Numerical Solution of SDE Through Computer Experiments
Authors
Series Title
Universitext
Copyright
1994
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-57913-4
DOI
10.1007/978-3-642-57913-4
Softcover ISBN
978-3-540-57074-5
Series ISSN
0172-5939
Edition Number
1
Number of Pages
XIV, 294
Topics