Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations
Author: Peter E. Kloeden
Publisher: Springer Science & Business Media
Total Pages: 666
Release: 2013-04-17
Genre: Mathematics
ISBN: 3662126168


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The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "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." --ZAMP


Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 666
Authors: Peter E. Kloeden
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

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The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas
Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 680
Authors: Peter E. Kloeden
Categories: Mathematics
Type: BOOK - Published: 2011-06-15 - Publisher: Springer Science & Business Media

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The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas
Numerical Solution of SDE Through Computer Experiments
Language: en
Pages: 304
Authors: Peter Eris Kloeden
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

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This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer e
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Language: en
Pages: 868
Authors: Eckhard Platen
Categories: Mathematics
Type: BOOK - Published: 2010-07-23 - Publisher: Springer Science & Business Media

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In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of
Applied Stochastic Differential Equations
Language: en
Pages: 327
Authors: Simo Särkkä
Categories: Business & Economics
Type: BOOK - Published: 2019-05-02 - Publisher: Cambridge University Press

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With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.