ENGLISH

Numerical Solution of SDE Through Computer Experiments

By Eckhard Platen , Peter E. Kloeden , Henri Schurz (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
1994
ISBN
978-3-540-57074-5, 978-3-642-57913-4
DOI
10.1007/978-3-642-57913-4
Language
english
Format
PDF
Filesize
22 MB (23077857 bytes)
Series
Universitext
Edition
1
Pages
294\303
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Probability Theory and Stochastic Processes; Numer

Description

This is a computer experimental introduction to the numerical solution of stochastic differential equations. A downloadable software software containing programs for over 100 problems is provided at one of the following homepages: http://www.math.uni-frankfurt.de/numerik/kloeden/ http://www.business.uts.edu.au/finance/staff/eckard.html http://www.math.siu.edu/schurz/SOFTWARE/ to enable the reader to develop an intuitive understanding of the issues involved. Applications include stochastic dynamical systems, filtering, parametric estimation and finance modeling. The book is intended for readers without specialist stochastic background who want to apply such numerical methods to stochastic differential equations that arise in their own field. It can also be used as an introductory textbook for upper-level undergraduate or graduate students in engineering, physics and economics.

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