Numerical Solution of Stochastic Differential Equations (Applications of Mathematics)

Peter E. Kloeden; Eckhard Platen; A.V. Balakrishnan; I. Karatzas; Marc Yor

ISBN 10: 0387540628 / ISBN 13: 9780387540627

Published by Springer Verlag, 1992

About this Item

LIGHTNING FAST SHIPPING! A heavily used, but still working copy. Coffee stain and wrinkling to the edge of the pages when a tired undergrad fell asleep and knocked their cup over on their books. The binding and pages of the book have been reinforced with tape, has tape and stickers on the cover, as well as lots of notes (some of the answers in the learning activities may be filled in) on the pages. Definitely not pretty, but it's a working copy at a great price that ships fast. ~ Book does NOT contain an access code or CD/DVD. Seller Inventory # #159B-0114

Bibliographic Details

Title: Numerical Solution of Stochastic ...

Publisher: Springer Verlag

Publication Date: 1992

Binding: Hardcover

Condition: Acceptable

About this title

Synopsis:

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.

From the Back Cover:

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to 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 the discrete time numerical methods for differential equations. The book presents many new results on high-order methods for strong sample path approximations and for weak functional approximations, including implicit, predictor-corrector, extra-polation 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.