You are here

Back to top

Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability #23) (Hardcover)

Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability #23) Cover Image
$181.99
Usually Ships in 1-5 Days

Description


The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. To help the reader develop an intuitive understanding and hands-on numerical skills, numerous exercises and PC-Exercises are included. The book is directed at a multi-disciplinary readership, consisting primarily of engineers, financial analysts, physicists and mathematicians developing numerical schemes for applications of SDEs, and also of researchers in other fields like biology, chemistry or economics who, with less mathematical background, wish to apply.

Product Details
ISBN: 9783540540625
ISBN-10: 3540540628
Publisher: Springer
Publication Date: August 6th, 1992
Pages: 636
Language: English
Series: Stochastic Modelling and Applied Probability