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Springer Numerical Solution of Stochastic Differential Equations: 23 (Stochastic Modelling and Applied Probability, 23)

Name: Numerical Solution of Stochastic Differential Equations: 23 (Stochastic Modelling and Applied Probability, 23)
Brand: Springer

Econometrics

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The aim of this book is to provide an accessible introduction to stochastic differ ential equations and their applications together with a systematic presentation of methods available for their numerical solution. During the past decade there has been an accelerating interest in the de velopment of numerical methods for stochastic differential equations (SDEs). This activity has been as strong in the engineering and physical sciences as it has in mathematics, resulting inevitably in some duplication of effort due to an unfamiliarity with the developments in other disciplines. Much of the reported work has been motivated by the need to solve particular types of problems, for which, even more so than in the deterministic context, specific methods are required. The treatment has often been heuristic and ad hoc in character. Nevertheless, there are underlying principles present in many of the papers, an understanding of which will enable one to develop or apply appropriate numerical schemes for particular problems or classes of problems.

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Brand: Springer
Format: hardcover
ASIN: 3540540628
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 06 August 1992
Listed Since: 22 January 2007

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Springer Numerical Solution of Stochastic Differential Equations: 23 (Stochastic Modelling and Applied Probability, 23)

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