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　　分類: 图书,进口原版书,科学与技术 Science & Techology ,

作者： Peter Eris Kloeden著

出 版 社： 新世纪出版社

出版时间： 2003-1-1字数：版次： 1页数： 292印刷时间： 2003/01/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9783540570745包装： 平装内容简介

The 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 in their own fields. Furthermore, it creates an intuitive understanding of the necessary theoretical background from stochastic and numeric analysis. A downloadable softward containing programs for over 100 problems is provided at each of the following homepages:

http://www.math.uni-frankfurt.de/~numerik/kloeden/

http://www.business.uts.edu.au/finance/staff/eckhard.html

http.//www.math.siu.edu/schurz/SOFTWARE/

to enable the reader to develop an intuitive understanding of the issues involved. Applications include stochastic dynamical systems, filtering, parametric estimation and finance modeling.

The book is intended for readers without specialist stochastic background who want to apply such numerical methods to stochastic differential equations that arise in their own filed.

目录

Preface

Legal Matters

Introduction

Chapter 1 Background on Probability and Statistics

Chapter 2 Stochastic Differential Equations

Chapter 3 Introduction to Discrete Time Approximation

Chapter 4 Strong Approximations

Chapter 5 Weak Approximations

Chapter 6 Applications

References

Subject Index

List of PC-Exercises

Frequently Used Notations

 

 

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