Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations

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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: qThe 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.q --ZAMPSince there exists an invertible 2x2 matrix S such that C = Saquot; S, the vector X = Saquot;Z + u is jointly Gaussian with mean vector ... The Box-Muller or Polar Marsaglia methods can thus be used to generate pairs of Gaussian pseudo-random numbersanbsp;...

Title:Numerical Solution of Stochastic Differential Equations
Author:Peter E. Kloeden, Eckhard Platen
Publisher:Springer Science & Business Media - 2013-04-17


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