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Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations

Paperback

Series: Stochastic Modelling and Applied Probability, Book 23

General MathematicsProbability & Statistics

ISBN10: 364208107X
ISBN13: 9783642081071
Publisher: Springer
Published: Dec 15 2010
Pages: 636
Weight: 2.05
Height: 1.36 Width: 6.14 Depth: 9.21
Language: English
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. To help the reader develop an intuitive understanding and hands-on numerical skills, numerous exercises and PC-Exercises are included. The book is directed at a multi-disciplinary readership, consisting primarily of engineers, financial analysts, physicists and mathematicians developing numerical schemes for applications of SDEs, and also of researchers in other fields like biology, chemistry or economics who, with less mathematical background, wish to apply

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