Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations

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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.This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations.

Title:Numerical Solution of Stochastic Differential Equations
Author: Peter E. Kloeden, Eckhard Platen
Publisher:Springer Science & Business Media - 1992-01-01

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