An Introduction to the Numerical Simulation of Stochastic Differential Equations

by Peter E. Kloeden and Desmond J. Higham

This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject available to the widest possible readership. It presents an outline of the underlying convergence and stability theory while avoiding technical details. Key ideas are illustrated with numerous computational examples and computer code is listed at the end of each chapter. The authors include 150...

• Format: Hardcover
• Language: English
• ISBN: 1611976421
• ISBN13: 9781611976427
• Release Date: January 2021
• Publisher: Society for Industrial and Applied Mathematic
• Length: 289 Pages