Numerical solution of stochastic differential equations
Author(s)
Bibliographic Information
Numerical solution of stochastic differential equations
（Applications of mathematics, 23）
Springer-Verlag, c1992
- : gw
- : us
Related Bibliography 2 items
Available at / 85 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
: gwKLO||5||192032339
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
: us519.1-208s081000087753*
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Hokkaido University, Library, Graduate School of Science, Faculty of Science and School of Science図書
: us519.2/K6922070365217
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Note
Includes bibliographical references (p. [597]-624) and index
Description and Table of Contents
Description
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations.
From the reviews:
"The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Table of Contents
1. Probability and Statistics.- 2. Probability and Stochastic Processes.- 3. Ito Stochastic Calculus.- 4. Stochastic Differential Equations.- 5. Stochastic Taylor Expansions.- 6. Modelling with Stochastic Differential Equations.- 7. Applications of Stochastic Differential Equations.- 8. Time Discrete Approximation of Deterministic Differential Equations.- 9. Introduction to Stochastic Time Discrete Approximation.- 10. Strong Taylor Approximations.- 11. Explicit Strong Approximations.- 12. Implicit Strong Approximations.- 13. Selected Applications of Strong Approximations.- 14. Weak Taylor Approximations.- 15. Explicit and Implicit Weak Approximations.- 16. Variance Reduction Methods.- 17. Selected Applications of Weak Approximations.- Solutions of Exercises.- Bibliographical Notes.
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