Numerical solution of sde through computer experiments通过计算机实验的SDE的数字解答
点此进入淘宝搜索页搜索分類: 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