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Viser: Numerical Solution of Stochastic Differential Equations
Numerical Solution of Stochastic Differential Equations
Peter E. Kloeden og Eckhard Platen
(1992)
Sprog: Engelsk
Springer Berlin / Heidelberg
1.421,00 kr.
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Detaljer om varen
- 3. Udgave
- Hardback
- Udgiver: Springer Berlin / Heidelberg (August 1992)
- Forfattere: Peter E. Kloeden og Eckhard Platen
- ISBN: 9783540540625
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations.
From the reviews:
"The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
1. Probability and Statistics.-
2. Probability and Stochastic Processes.-
3. Ito Stochastic Calculus.-
4. Stochastic Differential Equations.-
5. Stochastic Taylor Expansions.-
6. Modelling with Stochastic Differential Equations.-
7. Applications of Stochastic Differential Equations.-
8. Time Discrete Approximation of Deterministic Differential Equations.-
9. Introduction to Stochastic Time Discrete Approximation.-
10. Strong Taylor Approximations.-
11. Explicit Strong Approximations.-
12. Implicit Strong Approximations.-
13. Selected Applications of Strong Approximations.-
14. Weak Taylor Approximations.-
15. Explicit and Implicit Weak Approximations.-
16. Variance Reduction Methods.-
17. Selected Applications of Weak Approximations.- Solutions of Exercises.- Bibliographical Notes.
2. Probability and Stochastic Processes.-
3. Ito Stochastic Calculus.-
4. Stochastic Differential Equations.-
5. Stochastic Taylor Expansions.-
6. Modelling with Stochastic Differential Equations.-
7. Applications of Stochastic Differential Equations.-
8. Time Discrete Approximation of Deterministic Differential Equations.-
9. Introduction to Stochastic Time Discrete Approximation.-
10. Strong Taylor Approximations.-
11. Explicit Strong Approximations.-
12. Implicit Strong Approximations.-
13. Selected Applications of Strong Approximations.-
14. Weak Taylor Approximations.-
15. Explicit and Implicit Weak Approximations.-
16. Variance Reduction Methods.-
17. Selected Applications of Weak Approximations.- Solutions of Exercises.- Bibliographical Notes.
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Tlf 77 42 43 44 - email poly@polyteknisk.dk - CVR 34072655 - Sydbank Reg: 6748 Konto 0001107927