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portada An Introduction to the Numerical Simulation of Stochastic Differential Equations
Type
Physical Book
Author
Year
2021
Language
English
Pages
289
Format
Hardcover
ISBN13
9781611976427

An Introduction to the Numerical Simulation of Stochastic Differential Equations

Desmond J. Higham; Peter E. Kloeden (Author) · · Hardcover

An Introduction to the Numerical Simulation of Stochastic Differential Equations - Desmond J. Higham; Peter E. Kloeden

New Book Imported to South Africa
Delivery: 03 Sep - 11 Sep Shipping: 13 to 14 business days.
R 1,835
R 1,835

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Synopsis "An Introduction to the Numerical Simulation of Stochastic Differential Equations "

This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject available to the widest possible readership. It presents an outline of the underlying convergence and stability theory while avoiding technical details. Key ideas are illustrated with numerous computational examples and computer code is listed at the end of each chapter. The authors include 150 exercises, with solutions available online, and 40 programming tasks. Although introductory, the book covers a range of modern research topics, including Itô versus Stratonovich calculus, implicit methods, stability theory, nonconvergence on nonlinear problems, multilevel Monte Carlo, approximation of double stochastic integrals, and tau leaping for chemical and biochemical reaction networks. An Introduction to the Numerical Simulation of Stochastic Differential Equations is appropriate for undergraduates and postgraduates in mathematics, engineering, physics, chemistry, finance, and related disciplines, as well as researchers in these areas. The material assumes only a competence in algebra and calculus at the level reached by a typical first-year undergraduate mathematics class, and prerequisites are kept to a minimum. Some familiarity with basic concepts from numerical analysis and probability is also desirable but not necessary.

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