ENGLISH

Numerical solution of stochastic differential equations

By Eckhard Platen , Peter E. Kloeden

Book information

Publisher
Springer
Year
1995
ISBN
3540540628, 9783540540625
LCC
QA274.23 .K56 1995
Open Library ID
OL1269347M
Language
english
Format
DJVU
Filesize
6 MB (5866777 bytes)
Series
Stochastic Modelling and Applied Probability
Edition
Corrected
Pages
668\668
Library
Kolxo3
DPI
600
Scanned
yes
Time added
2009-12-04 00:34:26
Математика;Вычислительная математика

Description

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. The book proposes to the reader whose background knowledge is limited to undergraduate level methods for engineering and physics, and easily accessible introductions to SDE and then applications as well as the numerical methods for dealing with them. To help the reader develop an intuitive understanding and hand-on numerical skills, numerous exercises including PC-exercises are included.

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