Numerical Solution of Stochastic Differential Equations

by Peter E. Kloeden, Eckhard Platen

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. From the "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Genres: Mathematics

636 pages, Hardcover

First published July 31, 1992

Reviews

[Kenghis Khan · Rating 5 out of 5]

This amazing book is a must for all practitioners interested in probabilistic modeling. It presents the state of the art of this field in a concise, readable and logical presentation. What is so rewarding and amazing about the book is that one needs little more than a basic understanding of undergraduate mathematics to use the book. I have nothing but the highest regards for this text.