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Numerical Solution of Stochastic Differential Equations

About Numerical Solution of Stochastic Differential Equations

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.

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  • Language:
  • English
  • ISBN:
  • 9783540540625
  • Binding:
  • Hardback
  • Pages:
  • 636
  • Published:
  • June 15, 2011
  • Edition:
  • 1199242011
  • Dimensions:
  • 166x244x43 mm.
  • Weight:
  • 1094 g.
Delivery: 2-3 weeks
Expected delivery: July 25, 2024

Description of Numerical Solution of Stochastic Differential Equations

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.

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