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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
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Springer Berlin Heidelberg, 2002
ISBN 10: 3540570748
ISBN 13: 9783540570745
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Zustand: Gut. Zustand: Gut | Seiten: 312 | Sprache: Englisch | Produktart: Bücher. Bestandsnummer des Verkäufers 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
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Paperback. Zustand: Good. 1994. Corr. 3rd. Ship within 24hrs. Satisfaction 100% guaranteed. APO/FPO addresses supported. Bestandsnummer des Verkäufers 3540570748-11-1
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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. Bestandsnummer des Verkäufers 304165
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Numerical Solution of SDE Through Computer Experiments (Universitext)
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Complements the authors previous book for readers needing less theoretical background informationProvides calculation models for concrete problems using SDE No competitionThis 2nd volume can be used quite independently of the first. Bestandsnummer des Verkäufers 4894174
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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. Bestandsnummer des Verkäufers 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. Bestandsnummer des Verkäufers 9783540570745
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Numerical Solution of SDE Through Computer Experiments
Verlag:
Springer Berlin Heidelberg Dez 1993, 1993
ISBN 10: 3540570748
ISBN 13: 9783540570745
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 312 pp. Englisch. Bestandsnummer des Verkäufers 9783540570745
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Numerical Solution of SDE Through Computer Experiments (Universitext)
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Zustand: Good. The book may have minor cosmetic wear (i.e. creased spine/cover, scratches, curled corners, folded pages, minor sunburn, minor water damage, minor bent). The book may have some highlights/notes/underlined pages - Accessories such as CD, codes, toys, may not be included - Safe and Secure Mailer - No Hassle Return. Bestandsnummer des Verkäufers 521PY6003ITM
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Numerical Solution of SDE Through Computer Experiments (Universitext)
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