Title: Numerical solution of SDE through computer experiments
First published: 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: Numerical solutions, Stochastic differential equations, Data processing, Applications of Computing, Differential equations, Mathematical theory of computation, Stochastics, Science/Mathematics, Stochastic Processes, Mathematics, Computer Books: General, Number Systems, Probability & Statistics - General, Computer Experiment, Mathematics / Statistics, Mathematics : Number Systems, SDE, discrete time approximations, higher order numerical schemes, numerical simulation, stochastic Taylor expansion, Numerical analysis, Distribution (Probability theory), Probability Theory and Stochastic Processes