About this book
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:
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.
- DOI https://doi.org/10.1007/978-3-642-57913-4
- Copyright Information Springer-Verlag Berlin Heidelberg 1994
- Publisher Name Springer, Berlin, Heidelberg
- eBook Packages Springer Book Archive
- Print ISBN 978-3-540-57074-5
- Online ISBN 978-3-642-57913-4
- Series Print ISSN 0172-5939
- Series Online ISSN 2191-6675
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