Cover of: Numerical solution of SDE through computer experiments | Peter E. Kloeden

Numerical solution of SDE through computer experiments

  • 292 Pages
  • 2.20 MB
  • 2432 Downloads
  • English
by
Springer-Verlag , Berlin, New York
Stochastic differential equations -- Numerical solutions -- Data proce
StatementPeter E. Kloeden, Eckhard Platen, Henri Schurz.
SeriesUniversitext
ContributionsPlaten, Eckhard., Schurz, Henri.
Classifications
LC ClassificationsQA274.23 .K557 1994
The Physical Object
Paginationxiv, 292 p. :
ID Numbers
Open LibraryOL1161370M
ISBN 103540570748
LC Control Number94140189
OCLC/WorldCa29788831

: Numerical Solution of SDE Through Computer Experiments (Universitext) (): Kloeden, Peter Eris, Platen, Eckhard, Schurz, Henri: BooksCited by: The numerical solution of stochastic differential equations is becoming an in­ dispensible worktool in a multitude of disciplines, bridging a long-standing gap between the well advanced theory of stochastic differential equations and its application to specific examples.

This has been made possible. The aim of this book is to provide a computationally oriented introduction to the numerical solution of stochastic differential equations, using computer experiments to develop in the readers an ability to undertake numerical studies of stochastic differential equations that arise in their own disciplines and an understanding, intuitive at.

Numerical Solution of SDE Through Computer Experiments. Authors (view affiliations) Peter E. Kloeden 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.

Computer Experiment SDE discrete time approximations. Numerical Solution of SDE through Computer Experiments (P. Kloeden, E. Platen, and H. Schurz)Author: Philip Protter.

Numerical Solution of SDE Through Computer Experiments Peter E. Kloeden, Eckhard Platen, Henri Schurz (auth.) This is a computer experimental introduction to the numerical solution of stochastic differential equations.

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(). Numerical Solution of SDE Through Computer Experiments. Technometrics: Vol. 37, No. 1, pp. Numerical Solution of SDE Through Computer Experiments (Universitext) - Kindle edition by Kloeden, Peter Eris, Platen, Eckhard, Schurz, Henri.

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The book provides an easily accessible computationally oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations in their own fields.

Numerical Solution of Sde Through Computer Experiments 2nd Edition by Kloeden, Peter E.; Kloeden, P.e. (deakin University, Victoria, Australia); Schurz, Henri; Kloeden, Peter Eris; Platen, Eckhard and a great selection of related books, art and collectibles available now at Thank you enormously much for downloading numerical solution of sde through computer experiments you have knowledge that, people have see numerous times for their favorite books later than this numerical solution of sde through computer experiments universitext, but stop taking place in harmful downloads.

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Abstract. This chapter is an introduction and survey of numerical solution methods for stochastic differential equations. The solutions will be continuous stochastic processes that represent diffusive dynamics, a common modeling assumption for financial systems.

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Peter Page 6/Peter E. Kloeden, Eckhard Platen, and Henri Schurz, Numerical Solution of SDE Through Computer Experiment, Springer-Verlag,ISBN This text is available at the Columbia University Bookstore. Note that the sample programs are written in Pascal, while we are working with C.