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Numerical Solution of Stochastic Differential Equations

Peter E Kloeden author Eckhard Platen author

Format:Hardback

Publisher:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Published:15th Jun '11

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Numerical Solution of Stochastic Differential Equations cover

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

"... 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. This was not an easy task... Their exposition stresses clarity, not formality - a very welcome approach." ZAMP

ISBN: 9783540540625

Dimensions: unknown

Weight: 2460g

636 pages

1st Corrected ed. 1992, Corr. 4th printing 2011