Numerical Solution of Sde Through Computer Experiments

Kloeden, Peter Eris; Platen, Eckhard; Schurz, Henri

ISBN 10: 3540570748 ISBN 13: 9783540570745

Editorial: Springer, 1993

Idioma: Ingl�s

Condici�n: Usado - Regular Encuadernaci�n de tapa blanda

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Descripci�n

Readable copy. Pages may have considerable notes/highlighting. ~ ThriftBooks: Read More, Spend Less 1.05.

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Detalles bibliogr�ficos

T�tulo

Numerical Solution of Sde Through Computer Experiments

Editor

Springer

Fecha de publicaci�n

1993

Idioma

Ingl�s

ISBN 10

3540570748

ISBN 13

9783540570745

Encuadernaci�n

Paperback

Edici�n

3� Edici�n

Estado

Fair

Estado de la sobrecubierta

No Jacket

Cat�logos de vendedores

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Sinopsis

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.

De la contraportada

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.

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