Numerical Solution of SDE Through Computer Experiments

  • Peter E. Kloeden
  • Eckhard Platen
  • Henri Schurz

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 1-61
  3. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 63-90
  4. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 91-137
  5. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 139-178
  6. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 179-217
  7. Peter E. Kloeden, Eckhard Platen, Henri Schurz
    Pages 219-270
  8. Back Matter
    Pages 271-295

About this book

Introduction

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.

Keywords

Computer Experiment SDE discrete time approximations higher order numerical schemes numerical simulation numerics statistics stochastic Taylor expansion stochastic differential equations

Authors and affiliations

  • Peter E. Kloeden
    • 1
  • Eckhard Platen
    • 2
  • Henri Schurz
    • 3
  1. 1.Fachbereich MathematikJohann Wolfgang Goethe-UniversitätFrankfurt am MainGermany
  2. 2.Department of Mathematical SciencesUniversity of TechnologyBroadwayAustralia
  3. 3.Department of MathematicsSouthern Illinois UniversityCarbondaleUSA

Bibliographic information

  • 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
  • About this book