Numerical Solution of SDE Through Computer Experiments
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Beschreibung
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.
This is a computer experimental introduction to the numerical solution of stochastic differential equations. A floppy disk containing Turbo Pascal programs for over 100 problems is provided to enable the reader to develop an intuitive understanding of the issues involved.
Complements the authors' previous book for readers needing less theoretical background information Provides calculation models for concrete problems using SDE This 2nd volume can be used quite independently of the first Includes supplementary material: sn.pub/extras
Autor*in
Peter Eris Kloeden
Themen in »Numerical Solution of SDE Through Computer Experiments«
Computer Experiment SDE discrete time approximations higher order numerical schemes numerical simulation numerics statistics stochastic Taylor expansion stochastic differential equations