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Numerical Analysis of Stochastic Processes

De Gruyter Textbook

Erscheint am 20.03.2025, Auflage: 1/2025
51,95 €
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Bibliografische Daten
ISBN/EAN: 9783110443370
Sprache: Englisch
Umfang: XII, 300 S., 20 s/w Illustr., 20 farbige Illustr.,
Einband: Paperback

Beschreibung

This textbook is a introduction to the art of analysing, approximating and solving stochastic differential equations. Random number generation and Monte Carlo methods as well as convergence theorems and discretisation effects are discussed. Apart from mathematical problems, these equations occur in physical, engineering and economic models, e.g., due to a lack of knowledge of the underlying complex systems.

Autorenportrait

Wolf-Jürgen Beyn, University of Bielefeld, Germany; Raphael Kruse, Technical University of Berlin, Germany.