Numerical Solution Of Sde Through Computer Experiments by Peter Eris KloedenNumerical Solution Of Sde Through Computer Experiments by Peter Eris Kloeden

Numerical Solution Of Sde Through Computer Experiments

byPeter Eris Kloeden, Eckhard Platen, Henri Schurz

Paperback | December 12, 2002

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This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
Title:Numerical Solution Of Sde Through Computer ExperimentsFormat:PaperbackDimensions:309 pagesPublished:December 12, 2002Publisher:Springer Berlin HeidelbergLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3540570748

ISBN - 13:9783540570745


Table of Contents

Preface.- Legal Matters.- Introduction.- Background on Probability and Statistics.- Stochastic Differential Equations.- Introduction to Discrete Time Approximation.- Strong Approximations.- Weak Approximations.- Applications.- References.- Subject Index.- List of PC-Exercises.- Frequently Used Notations.