Numerical Solution of SDE Through Computer Experiments. Hochschultext / Universitext

Seitenzahl:

292

Gewicht:

471 g

Auflage:

1. Auflage korr. Nachdruck 2002.

Erschienen bei:

Springer

Beschreibung

The 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 in their own fields. Furthermore, it creates an intuitive understanding of the necessary theoretical background from stochastic and numeric analysis.  A downloadable softward containing programs for over 100 problems is provided at each of the following homepages:
http://www.math.uni-frankfurt.de/~numerik/kloeden/http://www.business.uts.edu.au/finance/staff/eckhard.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 filed.

Kurzbeschreibung

The 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 in their own fields. Furthermore, it creates an intuitive understanding of the necessary theoretical background from stochastic and numeric analysis. A downloadable softward containing programs for over 100 problems is provided at each of the following homepages:
http://www.math.uni-frankfurt.de/~numerik/kloeden/http://www.business.uts.edu.au/finance/staff/eckhard.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 filed. TOC:Preface.- Legal Matters.- Introduction.- Background on Probability and Statistics.- Stochastic Differential Equations.- Introduction to Discrete Time Approximation.- Strong Approximations.- Weak Approximations.- Applications.- References.- Subject Index.- List of PC-Exercises.- Frequently Used Notations.

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Mehr über...

Mehr über:  Numerik (naturwissenschaftlich, EDV), Statistik, EDV / Theorie / Informatik / Mathematik, Stochastik, Differenzialrechnung, Wahrscheinlichkeit, Numerische Mathematik, Differenzialgleichungen, stochastic differential equations, numerical simulation, Computer Experiment, SDE, discrete time approximations, higher order numerical schemes, stochastic Taylor expansion, Probability & Statistics - General, Number Systems, EDV). Probability & Statistics - General. Number Systems (naturwissenschaftlich

Mehr von: 

Mehr von:  Henri Schurz, Peter E. Kloeden, Eckhard Platen, Springer