Numerical solution of SDE through computer experiments
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Contributions
- Platen, Eckhard. - Contributor
- Schurz, Henri. - Contributor
Publication
1994 - Springer-Verlag, Berlin
Language
English
Word Count
73,000 words, Guess
Page Count
292 pages
Identifiers
- Open LibraryOL1161370M
- ISBN-103540570748
- OCLC Control Number29788831
- OCLC Control Numbernumericalsolutio00kloe
- Library of Congress Control Number94140189
and 2 more
- Goodreads1108789
- LibraryThing2047398
Classifications
- DDC519.2
- LCCQA274.23 .K557 1994
Description
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.
Subjects
Topics
Series Statement
- Universitext
Other Editions
- Numerical solution of SDE through computer experiments
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