Numerical Solution of Stochastic Differential Equations

Peter E. Kloeden, Eckhard Platen

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English

Springer Verlag
01 August 1992

Mathematics & Sciences; Differential calculus & equations; Stochastics

Series: Stochastic Modelling and Applied Probability

The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems.

By: Peter E. Kloeden, Eckhard Platen
Imprint: Springer Verlag
Country of Publication: Germany
Edition: 3rd
Volume: v. 23
Dimensions: Height: 235mm, Width: 155mm, Spine: 36mm
Weight: 2.460kg
ISBN: 9783540540625
ISBN 10: 3540540628
Series: Stochastic Modelling and Applied Probability
Pages: 676
Publication Date: 01 August 1992
Audience: College/higher education , Professional and scholarly , Professional & Vocational , A / AS level , Further / Higher Education
Format: Hardback
Publisher's Status: Active

Reviews for Numerical Solution of Stochastic Differential Equations

... the authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible. This was not an easy task... Their exposition stresses clarity, not formality - a very welcome approach. ZAMP