Numerical Solution of Stochastic Differential Equations by Peter E. Kloeden,Eckhard Platen

By Peter E. Kloeden,Eckhard Platen

The numerical research of stochastic differential equations (SDEs) differs considerably from that of normal differential equations. This booklet offers an simply available advent to SDEs, their functions and the numerical how you can resolve such equations.


From the reviews:


"The authors draw upon their very own study and studies in evidently many disciplines... huge time has evidently been spent scripting this within the least difficult language possible." --ZAMP

Show description

Read or Download Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability) PDF

Similar number systems books

Stochastic Modelling in Physical Oceanography (Progress in Probability)

The learn of the sea is sort of as outdated because the historical past of mankind itself. whilst the 1st seafarers set out of their primitive ships that they had to appreciate, as most sensible they can, tides and currents, eddies and vortices, for lack of expertise usually ended in lack of stay. those primitive oceanographers have been, after all, basically statisticians.

Derivative Securities and Difference Methods (Springer Finance)

This e-book is especially dedicated to finite distinction numerical equipment for fixing partial differential equations (PDEs) types of pricing a wide selection of economic spinoff securities. With this aim, the publication is split into major elements. within the first half, after an advent in regards to the fundamentals on by-product securities, the authors clarify easy methods to determine the sufficient PDE boundary worth difficulties for various units of spinoff items (vanilla and unique ideas, and rate of interest derivatives).

Multivariate Statistics:: Exercises and Solutions

The authors have cleverly used workouts and their strategies to discover the options of multivariate information research. damaged down into 3 sections, this ebook has been established to permit scholars in economics and finance to paintings their means via a good formulated exploration of this middle subject. the 1st a part of this booklet is dedicated to graphical recommendations.

Geometric Properties of Banach Spaces and Nonlinear Iterations (Lecture Notes in Mathematics)

The contents of this monograph fall in the common quarter of nonlinear useful research and purposes. We specialize in a major subject inside of this region: geometric houses of Banach areas and nonlinear iterations, a subject matter of extensive learn e? orts, specially in the previous 30 years, or so.

Extra info for Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)

Example text

Download PDF sample

Rated 4.12 of 5 – based on 48 votes