Peter E. Kloeden, Eckhard Platen

eBook, PDF

Numerical Solution of Stochastic Differential Equations (eBook, PDF)

Beschreibung

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. To help the reader develop an intuitive understanding and hands-on numerical skills, numerous exercises and PC-Exercises are included. The book is directed at a multi-disciplinary readership, consisting primarily of engineers, financial analysts, physicists and mathematicians developing numerical schemes for applications of SDEs, and also of researchers in other fields like biology, chemistry or economics who, with less mathematical background, wish to apply

Technische Details

• Geräte: PC
• ohne Kopierschutz
• Größe: 48.41MB

Barrierefreiheit

• Text-to-Speech
• E-Mail des Verlags für Barrierefreiheitsfragen: [e-mail]
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Autor

Professor Eckhard Platen is a joint appointment between the School of Finance and Economics and the Department of Mathematical Sciences to the 1997 created Chair in Quantitative Finance at the University of Technology Sydney. Prior to this appointment he was Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He completed a PhD in Mathematics at the Technical University in Dresden in 1975 and obtained in 1985 his Dr. sc. from the Academy of Sciences in Berlin, where he headed at the Weierstrass Institute the Sector of Stochastics. He is co-author of two successful books on Numerical Methods for Stochastic Differential Equations, published by Springer Verlag, and has authored more than 100 research papers in quantitative finance and mathematics.

Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 636
• Erscheinungstermin: 17. April 2013
• Englisch
• ISBN-13: 9783662126165
• Artikelnr.: 53331835

Rezensionen

"... the authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible. This was not an easy task... Their exposition stresses clarity, not formality - a very welcome approach." ZAMP