Numerical Solution of SDE Through Computer Experiments (Universitext) by Peter Eris Kloeden | (PDF) Free Download

Description

This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.

User’s Reviews

Editorial Reviews: From the Back Cover 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.htmlhttp://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.

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐Das Buch ist etwas zu technisch (z.B. bei der sturen Auflistung aller möglichen Grade von Taylor Schemes). Das Design ist arg verstaubt, so sind etwa Graphen und Illustrationen sehr simpel gehalten. Auch merkt man, daß man in die 90er Jahre zurückversetzt ist, wenn man seitenweise TURBO PASCAL Code im Buch abgedruckt sieht.

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