The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations.
From the reviews:
"The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
- ISBN13 9783540540625
- Publish Date 15 June 2011 (first published 1 October 1997)
- Publish Status Active
- Publish Country DE
- Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Edition 1st Corrected ed. 1992, Corr. 4th printing 2011
- Format Hardcover
- Pages 636
- Language English