Numerical Solution of SDE Through Computer Experiments

Peter Kloeden, Eckhard Platen, Henri Schurz

306 pages, parution le 03/01/2003 (3^eme édition)

Ajouter à une liste

Indisponible

Résumé

The book provides an easily accessible computationally oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations in their own fields. Furthermore, it creates an intuitive understanding of the necessary theoretical background from stochastic and numeric analysis. The book is related to the more theoretical monograph P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, 1992, but can be independently used. It provides solutions to over 100 exercises used in this monograph to illustrate the theory. Corresponding Turbo Pascal programs are given on a floppy disk; furthermore commentaries on the programs and their use are carefully worked out in the book.

Contents

Legal Matters
Introduction
Background on Probability and Statistics
Stochastic Differential Equations
Introduction to Discrete Time Approximation
Strong Approximations
Weak Approximations
Applications

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Peter Kloeden, Eckhard Platen, Henri Schurz
Parution	03/01/2003
Édition	3^eme édition
Nb. de pages	306
Format	15,5 x 23,5
Couverture	Broché
Poids	466g
Intérieur	Noir et Blanc
EAN13	9783540570745