Numerical Solution of SDE Through Computer Experiments /

This is a computer experimental introduction to the numerical solution of stochastic differential equations. A downloadable software software containing programs for over 100 problems is provided at one of the following homepages: http://www.math.uni-frankfurt.de/numerik/kloeden/ http://www.business...

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Bibliographic Details
Main Author:	Kloeden, Peter E.
Corporate Author:	SpringerLink (Online service)
Other Authors:	Platen, Eckhard, Schurz, Henri
Format:	eBook
Language:	English
Published:	Berlin, Heidelberg : Springer Berlin Heidelberg, 1994.
Series:	Universitext,
Subjects:	Mathematics. Numerical analysis. Distribution (Probability theory) Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of Contents:

Preface
Legal Matters
Introduction
Background on Probability and Statistics
Stochastic Differential Equations
Introduction to Discrete Time Approximation
Strong Approximations
Weak Approximations
Applications
References
Subject Index
List of PC-Exercises
Frequently Used Notations.