Book Volume 23 1992

Numerical Solution of Stochastic Differential Equations

Authors:

ISBN: 978-3-642-08107-1 (Print) 978-3-662-12616-5 (Online)

Table of contents (17 chapters)

  1. Front Matter

    Pages I-XXXVI

  2. Preliminaries

    1. No Access

      Chapter

      Pages 1-50

      Probability and Statistics

    2. No Access

      Chapter

      Pages 51-74

      Probability Theory and Stochastic Processes

  3. Stochastic Differential Equations

    1. No Access

      Chapter

      Pages 75-102

      Ito Stochastic Calculus

    2. No Access

      Chapter

      Pages 103-160

      Stochastic Differential Equations

    3. No Access

      Chapter

      Pages 161-226

      Stochastic Taylor Expansions

  4. Applications of Stochastic Differential Equations

    1. No Access

      Chapter

      Pages 227-252

      Modelling with Stochastic Differential Equations

    2. No Access

      Chapter

      Pages 253-275

      Applications of Stochastic Differential Equations

  5. Time Discrete Approximations

    1. No Access

      Chapter

      Pages 277-303

      Time Discrete Approximation of Deterministic Differential Equations

    2. No Access

      Chapter

      Pages 305-337

      Introduction to Stochastic Time Discrete Approximation

  6. Strong Approximations

    1. No Access

      Chapter

      Pages 339-371

      Strong Taylor Approximations

    2. No Access

      Chapter

      Pages 373-394

      Explicit Strong Approximations

    3. No Access

      Chapter

      Pages 395-425

      Implicit Strong Approximations

    4. No Access

      Chapter

      Pages 427-456

      Selected Applications of Strong Approximations

  7. Weak Approximations

    1. No Access

      Chapter

      Pages 457-484

      Weak Taylor Approximations

    2. No Access

      Chapter

      Pages 485-510

      Explicit and Implicit Weak Approximations

    3. No Access

      Chapter

      Pages 511-527

      Variance Reduction Methods

    4. No Access

      Chapter

      Pages 529-548

      Selected Applications of Weak Approximations

  8. Back Matter

    Pages 549-636