Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability) by Kloeden, Peter E., Platen, Eckhard (2011) Hardcover

by Peter E. Kloeden

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. The book proposes to the reader whose background knowledge is limited to undergraduate level methods for engineering and physics, and easily accessible introductions to SDE and then applications as well as the numerical methods for dealing with them. To help the reader develop an intuitive understanding and hand-on numerical skills, numerous exercises including PC-exercises are included.

Genres: Mathematics

Hardcover

First published July 31, 1992

Reviews

[Kenghis Khan · Rating 5 out of 5]

This amazing book is a must for all practitioners interested in probabilistic modeling. It presents the state of the art of this field in a concise, readable and logical presentation. What is so rewarding and amazing about the book is that one needs little more than a basic understanding of undergraduate mathematics to use the book. I have nothing but the highest regards for this text.