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| by: Peter E. Kloeden, Eckhard Platen |
Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)
by: Peter E. Kloeden, Eckhard Platen
* Publisher: Springer
* Number Of Pages: 636
* Publication Date: 2000-11-28
* ISBN-10 / ASIN: 3540540628
* ISBN-13 / EAN: 9783540540625
Product 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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