Numerical Solution of Stochastic Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Solution of Stochastic Differential Equations write by Peter E. Kloeden. This book was released on 2013-04-17. Numerical Solution of Stochastic Differential Equations available in PDF, EPUB and Kindle. The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "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." --ZAMP
Numerical Solution of Stochastic Differential Equations
Numerical Solution of Stochastic Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Solution of Stochastic Differential Equations write by Peter E. Kloeden. This book was released on 2011-06-15. Numerical Solution of Stochastic Differential Equations available in PDF, EPUB and Kindle. The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "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." --ZAMP
Numerical Solution of SDE Through Computer Experiments
Numerical Solution of SDE Through Computer Experiments - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Solution of SDE Through Computer Experiments write by Peter Eris Kloeden. This book was released on 2012-12-06. Numerical Solution of SDE Through Computer Experiments available in PDF, EPUB and Kindle. This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Numerical Solution of Stochastic Differential Equations with Jumps in Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Solution of Stochastic Differential Equations with Jumps in Finance write by Eckhard Platen. This book was released on 2010-07-23. Numerical Solution of Stochastic Differential Equations with Jumps in Finance available in PDF, EPUB and Kindle. In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.
Applied Stochastic Differential Equations
Applied Stochastic Differential Equations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Applied Stochastic Differential Equations write by Simo Särkkä. This book was released on 2019-05-02. Applied Stochastic Differential Equations available in PDF, EPUB and Kindle. With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
