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An Introduction to the Numerical Simulation of Stochastic Differential Equations (Hardcover)
Loot Price: R2,960
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An Introduction to the Numerical Simulation of Stochastic Differential Equations (Hardcover)
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This book provides a lively and accessible introduction to the
numerical solution of stochastic differential equations with the
aim of making this subject available to the widest possible
readership. It presents an outline of the underlying convergence
and stability theory while avoiding technical details. Key ideas
are illustrated with numerous computational examples and computer
code is listed at the end of each chapter. The authors include 150
exercises, with solutions available online, and 40 programming
tasks. Although introductory, the book covers a range of modern
research topics, including Ito versus Stratonovich calculus,
implicit methods, stability theory, nonconvergence on nonlinear
problems, multilevel Monte Carlo, approximation of double
stochastic integrals, and tau leaping for chemical and biochemical
reaction networks. An Introduction to the Numerical Simulation of
Stochastic Differential Equations is appropriate for undergraduates
and postgraduates in mathematics, engineering, physics, chemistry,
finance, and related disciplines, as well as researchers in these
areas. The material assumes only a competence in algebra and
calculus at the level reached by a typical first-year undergraduate
mathematics class, and prerequisites are kept to a minimum. Some
familiarity with basic concepts from numerical analysis and
probability is also desirable but not necessary.
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