Numerical Solution of Stochastic Differential Equations

1. Auflage 1992. Corr. 4th printing. Softcover version of original hardcover Auflage 1992
ISBN: 978-3-642-08107-1
Verlag: Springer

Buch, Englisch, Band 23, 636 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 1007 g

Reihe: Stochastic Modelling and Applied Probability

The aim of this book is to provide an accessible introduction to stochastic differ­ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de­ velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems.

Zielgruppe

Research

Autoren/Hrsg.

Platen, Eckhard

Kloeden, Peter E.

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Mathematik | Informatik Mathematik Algebra Elementare Algebra
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

1. Probability and Statistics.- 2. Probability and Stochastic Processes.- 3. Ito Stochastic Calculus.- 4. Stochastic Differential Equations.- 5. Stochastic Taylor Expansions.- 6. Modelling with Stochastic Differential Equations.- 7. Applications of Stochastic Differential Equations.- 8. Time Discrete Approximation of Deterministic Differential Equations.- 9. Introduction to Stochastic Time Discrete Approximation.- 10. Strong Taylor Approximations.- 11. Explicit Strong Approximations.- 12. Implicit Strong Approximations.- 13. Selected Applications of Strong Approximations.- 14. Weak Taylor Approximations.- 15. Explicit and Implicit Weak Approximations.- 16. Variance Reduction Methods.- 17. Selected Applications of Weak Approximations.- Solutions of Exercises.- Bibliographical Notes.