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Numerical solution of stochastic differential equations

By: Material type: TextTextSeries: Applications of mathematics ; 23Publication details: 2010 Springer Berlin, New York :Edition: Corr. 3rd printDescription: xxxvi, 636 p., ill. ; 25 cmISBN:
  • 9783540540625
Subject(s): DDC classification:
  • 519.2 K5N81
Summary: The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. The book proposes to the reader whose background knowledge is limited to undergraduate level methods for engineering and physics, and easily accessible introductions to SDE and then applications as well as the numerical methods for dealing with them. To help the reader develop an intuitive understanding and hand-on numerical skills, numerous exercises including PC-exercises are included. (Source: LOC PublisherHs description)
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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 28-B / Slot 1399 (0 Floor, East Wing) General Stacks 519.2 K5N81 (Browse shelf(Opens below)) Available 169642

The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. The book proposes to the reader whose background knowledge is limited to undergraduate level methods for engineering and physics, and easily accessible introductions to SDE and then applications as well as the numerical methods for dealing with them. To help the reader develop an intuitive understanding and hand-on numerical skills, numerous exercises including PC-exercises are included. (Source: LOC PublisherHs description)

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