Numerical Solution of Stochastic Differential Equations by Peter E. Kloeden
English | PDF | 1992 | 666 Pages | ISBN : 364208107X | 48.2 MB
The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to peculiarities of stochastic calculus. This book provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasising the numerical methods needed to solve such equations. It assumes of the reader an undergraduate background in mathematical methods typical of engineers and physicists, though many chapters begin with a descriptive summary.