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Numerical Solution of Sde Through Computer Experiments by Peter Eris Kloeden

Numerical Solution of Sde Through Computer Experiments

by Peter Eris Kloeden
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Book cover type: Paperback
  • ISBN13: 9783540570745
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 294
  • Original Price: GBP 64.99
  • Language: English
  • Edition: N/A
  • Item Weight: 473 grams
  • BISAC Subject(s): Probability & Statistics / General, Number Systems, and Mathematical Analysis

From the Back Cover

This is a computer experimental introduction to the numerical solution of stochastic differential equations. A downloadable software software containing programs for over 100 problems is provided at one of the following homepages:

http: //www.math.uni-frankfurt.de/numerik/kloeden/

http: //www.business.uts.edu.au/finance/staff/eckard.html

http: //www.math.siu.edu/schurz/SOFTWARE/

to enable the reader to develop an intuitive understanding of the issues involved. Applications include stochastic dynamical systems, filtering, parametric estimation and finance modeling.

The book is intended for readers without specialist stochastic background who want to apply such numerical methods to stochastic differential equations that arise in their own field. It can also be used as an introductory textbook for upper-level undergraduate or graduate students in engineering, physics and economics.

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