Numerical Solution of Stochastic Differential Equations - Couverture rigide

Kloeden, Peter-E; Platen, Eckhard

Couverture rigide

ISBN 10 : 3540540628 ISBN 13 : 9783540540625

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1992

Synopsis

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to the peculiarities of stochastic calculus. This book provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasising the numerical methods needed to solve such equations. It assumes of the reader an undergraduate background in mathematical methods typical of engineers and physicists, though many chapters begin with a descriptive summary. The book is also accessible to others who only require numerical recipes. The stochastic Taylor expansion provides the basis for discrete time numerical methods for stochastic differential equations. The book presents many new results on higher-order methods for strong sample path approximations and for weak functional approximations, including implicit, predictor-corrector, extrapolation and variance-reduction methods. Besides serving as a basic text on such methods, the book offers the reader ready access to a large number of potential research problems in a field that is just beginning to expand rapidly and is widely applicable. To help the reader to develop an intuitive understanding of the underlying mathematics and hand-on numerical skills, exercises and over 100 PC-exercises are included.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 1992
• Langue: anglais
• ISBN 10: 3540540628
• ISBN 13: 9783540540625
• Reliure: Relié
• Numéro d'édition: 1
• Nombre de pages: 636
• Coordonnées du fabricant: non disponible
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