Numerical Analysis of Stochastic Processes

By Raphael Kruse and Wolf-Jurgen Beyn

This textbook is a introduction to the art of analysing, approximating and solving stochastic differential equations. Random number generation and Monte Carlo methods as well as convergence theorems and discretisation effects are discussed. Apart from mathematical problems, these equations occur in physical, engineering and economic models, e.g., due to a lack of knowledge of the underlying complex systems.

• Format: Paperback
• Language: English
• ISBN: 3110443376
• ISBN13: 9783110443370
• Release Date: March 2025
• Publisher: de Gruyter
• Length: 312 Pages
• Grade Range: Postsecondary