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© 1994

Numerical Solution of SDE Through Computer Experiments

Benefits

  • Complements the authors' previous book for readers needing less theoretical background information

  • Provides calculation models for concrete problems using SDE

  • This 2nd volume can be used quite independently of the first

Textbook

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 1-61
  3. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 63-90
  4. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 91-137
  5. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 139-178
  6. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 179-217
  7. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 219-270
  8. Back Matter
    Pages 271-295

About this book

Introduction

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.

Keywords

Computer Experiment SDE discrete time approximations higher order numerical schemes numerical simulation numerics statistics stochastic Taylor expansion stochastic differential equations

Authors and affiliations

  1. 1.Fachbereich MathematikJohann Wolfgang Goethe-UniversitätFrankfurt am MainGermany
  2. 2.Department of Mathematical SciencesUniversity of TechnologyBroadwayAustralia
  3. 3.Department of MathematicsSouthern Illinois UniversityCarbondaleUSA

Bibliographic information

  • Book Title Numerical Solution of SDE Through Computer Experiments
  • Authors Peter Eris Kloeden
    Eckhard Platen
    Henri Schurz
  • Series Title Universitext
  • DOI https://doi.org/10.1007/978-3-642-57913-4
  • Copyright Information Springer-Verlag Berlin Heidelberg 1994
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-540-57074-5
  • eBook ISBN 978-3-642-57913-4
  • Series ISSN 0172-5939
  • Series E-ISSN 2191-6675
  • Edition Number 1
  • Number of Pages XIV, 294
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Analysis
    Probability Theory and Stochastic Processes
    Numerical Analysis
  • Buy this book on publisher's site
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