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  • Textbook
  • © 1994

Numerical Solution of SDE Through Computer Experiments

Authors:

  1. Peter E. Kloeden

    1. Fachbereich Mathematik, Johann Wolfgang Goethe-Universität, Frankfurt am Main, Germany

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  2. Eckhard Platen

    1. Department of Mathematical Sciences, University of Technology, Broadway, Australia

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    You can also search for this author in PubMed   Google Scholar

  3. Henri Schurz

    1. Department of Mathematics, Southern Illinois University, Carbondale, USA

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  • Complements the authors' previous book for readers needing less theoretical background information
  • Provides calculation models for concrete problems using SDE
  • This 2nd volume can be used quite independently of the first
  • Includes supplementary material: sn.pub/extras

Part of the book series: Universitext (UTX)

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-XIV
    PDF

  2. Background on Probability and Statistics

    • Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 1-61

  3. Stochastic Differential Equations

    • Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 63-90

  4. Introduction to Discrete Time Approximation

    • Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 91-137

  5. Strong Approximations

    • Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 139-178

  6. Weak Approximations

    • Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 179-217

  7. Applications

    • Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 219-270

  8. Back Matter

    Pages 271-295
    PDF
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About this book

The numerical solution of stochastic differential equations is becoming an in­ dispensible worktool in a multitude of disciplines, bridging a long-standing gap between the well advanced theory of stochastic differential equations and its application to specific examples. This has been made possible by the much greater accessibility to high-powered computers at low-cost combined with the availability of new, effective higher order numerical schemes for stochastic dif­ ferential equations. Many hitherto intractable problems can now be tackled successfully and more realistic modelling with stochastic differential equations undertaken. The aim of this book is to provide a computationally oriented introduction to the numerical solution of stochastic differential equations, using computer experiments to develop in the readers an ability to undertake numerical studies of stochastic differential equations that arise in their own disciplines and an understanding, intuitive at least, of the necessary theoretical background. It is related to, but can also be used independently of the monograph P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics Series Vol. 23, Springer-Verlag, Hei­ delberg, 1992, which is more theoretical, presenting a systematic treatment of time-discretized numerical schemes for stochastic differential equations along with background material on probability and stochastic calculus. To facilitate the parallel use of both books, the presentation of material in this book follows that in the monograph closely.
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Keywords

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Authors and Affiliations

  • Fachbereich Mathematik, Johann Wolfgang Goethe-Universität, Frankfurt am Main, Germany

    Peter E. Kloeden

  • Department of Mathematical Sciences, University of Technology, Broadway, Australia

    Eckhard Platen

  • Department of Mathematics, Southern Illinois University, Carbondale, USA

    Henri Schurz

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Bibliographic Information

  • Book Title: Numerical Solution of SDE Through Computer Experiments

  • Authors: Peter E. Kloeden, Eckhard Platen, Henri Schurz

  • Series Title: Universitext

  • DOI: https://doi.org/10.1007/978-3-642-57913-4

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1994

  • Softcover ISBN: 978-3-540-57074-5Published: 20 December 1993

  • eBook ISBN: 978-3-642-57913-4Published: 06 December 2012

  • Series ISSN: 0172-5939

  • Series E-ISSN: 2191-6675

  • Edition Number: 1

  • Number of Pages: XIV, 294

  • Topics: Analysis, Probability Theory and Stochastic Processes, Numerical Analysis

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Buy it now

eBook USD 54.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 69.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

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