Numerical Solution of Stochastic Differential Equations

by Peter E. Kloeden, Eckhard Platen

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.

Genres: Mathematics

672 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.