Numerical Solution of Stochastic Differential Equations by Peter E Kloeden

Numerical Solution of Stochastic Differential Equations by Peter E Kloeden

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.

".. 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

Professor Peter E. Kloeden has wide interests in the applications of mathematical analysis, numerical analysis, stochastic analysis and dynamical systems. He is the coauthor of several influential books on nonautonomous dynamical systems, metric spaces of fuzzy sets, and in particular Numerical Solutions of Stochastic Differential equations (with E. Platen) published by Springer in 1992. Professor Kloeden is a Fellow of the Australian Mathematical Society and the Society of Industrial and Applied Mathematics. He was awarded the W.T. & Idalia Reid Prize from Society of Applied and Industrial Mathematics in 2006. His current interests focus on nonautonomous and random dynamical systems and their applications in the biological sciences.

Professor Xiaoying Han's main research interests are in random and nonautonomous dynamical systems and their applications. In addition to mathematical analysis of dynamical systems, she is also interested in modeling and simulation of applied dynamical systems in biology, chemical engineering, ecology, material sciences, etc. She is the coauthor of the books Applied Nonautonomous and Random Dynamical Systems (with T. Caraballo) and Attractors under Discretisation (with P. E. Kloeden), published in the SpringerBrief series.

SKU	Unavailable
ISBN 13	9783540540625
ISBN 10	3540540628
Title	Numerical Solution of Stochastic Differential Equations
Author	Peter E Kloeden
Series	Stochastic Modelling And Applied Probability
Condition	Unavailable
Publisher	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Year published	1992-08-06
Number of pages	636
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable