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numerical solution of stochastic differential equations
Peter E. Kloeden
(Author)
·
Eckhard Platen
(Author)
·
Springer
· Paperback
numerical solution of stochastic differential equations - Kloeden, Peter E. ; Platen, Eckhard
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Synopsis "numerical solution of stochastic differential equations"
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. To help the reader develop an intuitive understanding and hands-on numerical skills, numerous exercises and PC-Exercises are included. The book is directed at a multi-disciplinary readership, consisting primarily of engineers, financial analysts, physicists and mathematicians developing numerical schemes for applications of SDEs, and also of researchers in other fields like biology, chemistry or economics who, with less mathematical background, wish to apply
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
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