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Numerical solution of SDE through computer experiments / Peter E. Kloeden, Eckhard Platen and Henri Schurz.

By: Contributor(s): Material type: TextTextSeries: UniversitextPublication details: Berlin ; New York : Springer-Verlag, c1994.Description: xiv, 292 p. : ill. ; 24 cmISBN:
  • 3540570748
Subject(s): DDC classification:
  • 519.2 23 K66
Contents:
1: Background on Probability and Statistics.- 2: Stochastic Differential Equations.- 3: Introduction to Discrete Time Approximation.- 4: Strong Approximations.- 5: Weak Approximations.- 6: Applications.- References-- Subject Index-- List of PC-exercises-- Frequently used notations.
Summary: A computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It aims to develop in the reader an ability to apply numerical methods solving stochastic differential equations.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 519.2 K66 (Browse shelf(Opens below)) Available C26323
Total holds: 0

Includes bibliographical references and index.

1: Background on Probability and Statistics.-
2: Stochastic Differential Equations.-
3: Introduction to Discrete Time Approximation.-
4: Strong Approximations.-
5: Weak Approximations.-
6: Applications.-

References--
Subject Index--
List of PC-exercises--
Frequently used notations.

A computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It aims to develop in the reader an ability to apply numerical methods solving stochastic differential equations.

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