Numerical Solution of SDE Through Computer Experiments
- Paperback | 294 pages
- 155 x 235 x 18.54mm | 980g
- 12 Dec 2002
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Berlin, Germany
- 1st ed. 1994. Corr. 3rd printing 2002
- XIV, 294 p.
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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.
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