Numerical solution of SDE through computer experiments
By: Peter E. Kloeden, Eckhard Platen, Henri Schurz.
Contributors: Platen, Eckhard.; Schurz, Henri.
Series: Universitext
Publisher: Springer-Verlag
Published: 1994
Place of publication: Berlin; New York
Language: eng
Number of pages: 292
Subjects: Stochastic differential equations -- Numerical solutions -- Data processing
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.
Notes: Includes bibliographical references and index.
System requirements for computer disk: IBM-compatible PC (386 microprocessor recommended); DOS; Borland Turbo Pascal 5.0; CGA, EGA, VGA, or SVGA graphics adapter.