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This 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. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
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This is a computer experimental introduction to the numerical solution of stochastic differential equations. A downloadable software software containing programs for over 100 problems is provided at one of the following homepages:
http://www.math.uni-frankfurt.de/numerik/kloeden/
http://www.business.uts.edu.au/finance/staff/eckard.html
http://www.math.siu.edu/schurz/SOFTWARE/
to enable the reader to develop an intuitive understanding of the issues involved. Applications include stochastic dynamical systems, filtering, parametric estimation and finance modeling.
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. It can also be used as an introductory textbook for upper-level undergraduate or graduate students in engineering, physics and economics.
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Numerical Solution of SDE Through Computer Experiments
Verlag:
Springer Berlin Heidelberg, 2002
ISBN 10: 3540570748
ISBN 13: 9783540570745
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Zustand: Gut. Zustand: Gut | Seiten: 312 | Sprache: Englisch | Produktart: Bücher. Artikel-Nr. 16477/203
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Numerical Solution of SDE Through Computer Experiments (Universitext)
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Springer (edition 1994. Corr. 3rd), 1993
ISBN 10: 3540570748
ISBN 13: 9783540570745
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Paperback. Zustand: Good. 1994. Corr. 3rd. Ship within 24hrs. Satisfaction 100% guaranteed. APO/FPO addresses supported. Artikel-Nr. 3540570748-11-1
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Numerical solution of SDE through computer experiments.
ISBN 10: 3540570748
ISBN 13: 9783540570745
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Zustand: Wie neu. CORRECTED third printing. XIV,292 Seiten. FRISCHES, SEHR schönes Exemplar der VERBESSERTEN Auflage In EXCELLENT shape. We offer a lot of books on PHYSICS and MATHEMATICS on stock in EXCELLENT shape). Sprache: Englisch Gewicht in Gramm: 505. Artikel-Nr. 304165
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Numerical Solution of SDE Through Computer Experiments
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 by the much greater accessibility to high-powered computers at low-cost combined with the availability of new, effective higher order numerical schemes for stochastic dif ferential equations. Many hitherto intractable problems can now be tackled successfully and more realistic modelling with stochastic differential equations undertaken. 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 least, of the necessary theoretical background. It is related to, but can also be used independently of the monograph P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics Series Vol. 23, Springer-Verlag, Hei delberg, 1992, which is more theoretical, presenting a systematic treatment of time-discretized numerical schemes for stochastic differential equations along with background material on probability and stochastic calculus. To facilitate the parallel use of both books, the presentation of material in this book follows that in the monograph closely. Artikel-Nr. 9783540570745
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Numerical Solution of SDE Through Computer Experiments
ISBN 10: 3540570748
ISBN 13: 9783540570745
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Taschenbuch. Zustand: Neu. Neuware -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 by the much greater accessibility to high-powered computers at low-cost combined with the availability of new, effective higher order numerical schemes for stochastic dif ferential equations. Many hitherto intractable problems can now be tackled successfully and more realistic modelling with stochastic differential equations undertaken. 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 least, of the necessary theoretical background. It is related to, but can also be used independently of the monograph P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics Series Vol. 23, Springer-Verlag, Hei delberg, 1992, which is more theoretical, presenting a systematic treatment of time-discretized numerical schemes for stochastic differential equations along with background material on probability and stochastic calculus. To facilitate the parallel use of both books, the presentation of material in this book follows that in the monograph closely.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 312 pp. Englisch. Artikel-Nr. 9783540570745
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Numerical Solution of SDE Through Computer Experiments (Universitext)
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