Numerical Solution of SDE Through Computer Experiments (Universitext)

Kloeden, Peter Eris; Platen, Eckhard; Schurz, Henri

ISBN 10: 3540570748 / ISBN 13: 9783540570745

Published by Springer (edition 1994. Corr. 3rd), 1993

It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience. Seller Inventory # 3540570748-11-1

Synopsis:

The numerical solution of stochastic differential equations is becoming an in­ dispensible worktool in a multitude of disciplines, bridging a long-standing gap between the well advanced theory of stochastic differential equations and its application to specific examples. This has been made possible by the much greater accessibility to high-powered computers at low-cost combined with the availability of new, effective higher order numerical schemes for stochastic dif­ ferential equations. Many hitherto intractable problems can now be tackled successfully and more realistic modelling with stochastic differential equations undertaken. The aim of this book is to provide a computationally oriented introduction to the numerical solution of stochastic differential equations, using computer experiments to develop in the readers an ability to undertake numerical studies of stochastic differential equations that arise in their own disciplines and an understanding, intuitive at least, of the necessary theoretical background. It is related to, but can also be used independently of the monograph P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics Series Vol. 23, Springer-Verlag, Hei­ delberg, 1992, which is more theoretical, presenting a systematic treatment of time-discretized numerical schemes for stochastic differential equations along with background material on probability and stochastic calculus. To facilitate the parallel use of both books, the presentation of material in this book follows that in the monograph closely.

From the Back Cover:

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.

Bibliographic Details

Title: Numerical Solution of SDE Through Computer ...
Publisher: Springer (edition 1994. Corr. 3rd)
Publication Date: 1993
Binding: Paperback
Condition: Good
Edition: 1994. Corr. 3rd.