| Numerical Solution of Stochastic Differential Equations Corrected 1992, Edition Contributor(s): Kloeden, Peter E. (Author), Platen, Eckhard (Author) |
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ISBN: 3540540628 ISBN-13: 9783540540625 Publisher: Springer OUR PRICE: $132.99 Product Type: Hardcover Published: August 1992 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Mathematics | Mathematical Analysis - Mathematics | Number Systems |
| Dewey: 519.2 |
| LCCN: 00266312 |
| Series: Stochastic Modelling and Applied Probability |
| Physical Information: 1.44" H x 6.14" W x 9.21" (2.46 lbs) 636 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: The aim of this book is to provide an accessible introduction to stochastic differ- ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de- velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems. |