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Numerical Solution of Stochastic Differential Equations

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About the Book

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

All Editions

9783540540625
Hardcover, 6th Edition
ISBN13: 9783540540625
Springer, 2011