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Applications of Stochastic Differential Equations

  • Chapter
Numerical Solution of Stochastic Differential Equations

Part of the book series: Applications of Mathematics ((SMAP,volume 23))

Abstract

This chapter consists of a selection of examples from the literature of applications of stochastic differential equations. These are taken from a wide variety of disciplines with the aim of stimulating the readers’ interest to apply stochastic differential equations in their own particular fields of interest and of providing an indication of how others have used models described by stochastic differential equations. Here we simply describe the equations and refer readers to the original papers for the justification and analysis of the models.

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Authors and Affiliations

  1. Fachbereich Mathematik, Johann Wolfgang Goethe-Universität, Postfach 11 19 32, D-60054, Frankfurt am Main, Germany

    Peter E. Kloeden

  2. School of Mathematical Sciences and School of Finance & Economics, University of Technology, Sydney, City Campus Broadway, GPO Box 123, 2007, Broadway, NSW, Australia

    Eckhard Platen

Authors
  1. Peter E. Kloeden
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  2. Eckhard Platen
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© 1992 Springer-Verlag Berlin Heidelberg

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Kloeden, P.E., Platen, E. (1992). Applications of Stochastic Differential Equations. In: Numerical Solution of Stochastic Differential Equations. Applications of Mathematics, vol 23. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-12616-5_7

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  • DOI: https://doi.org/10.1007/978-3-662-12616-5_7

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-08107-1

  • Online ISBN: 978-3-662-12616-5

  • eBook Packages: Springer Book Archive

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