An Introduction to the Numerical Simulation of Stochastic Differential Equations
$185.92
- Hardcover
289 pages
- Release Date
1 December 2020
Summary
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, an…
Book Details
| ISBN-13: | 9781611976427 |
|---|---|
| ISBN-10: | 1611976421 |
| Author: | Desmond J. Higham, Peter E. Kloeden |
| Publisher: | Society for Industrial & Applied Mathematics,U.S. |
| Imprint: | Society for Industrial & Applied Mathematics,U.S. |
| Format: | Hardcover |
| Number of Pages: | 289 |
| Release Date: | 1 December 2020 |
| Weight: | 790g |
| Dimensions: | 186mm x 264mm |
Desmond J. Higham
Desmond J. Higham is a Professor of Numerical Analysis in the School of Mathematics at the University of Edinburgh. His research interests include stochastic computation, network science, data science, and their applications to online technology and human behavior. He is a Fellow of the Royal Society of Edinburgh and of the Society for Industrial and Applied Mathematics (SIAM). In 2005, he was awarded the Dahlquist Prize from SIAM, and in 2020 he received the Shephard Prize from the London Mathematical Society. He serves as editor-in-chief of SIAM Review.
Peter E. Kloeden is retired Chair of Applied and Instrumental Mathematics at the Goethe University Frankfurt and is now a visiting researcher at the University of Tübingen. His research interests include analysis and numerics of random and nonautonomous systems and their applications. He is a Fellow of SIAM and was awarded the W. T. and Idalia Reid Prize from SIAM in 2006. In 2014, he received a Thousand Talents Award from the government of China. He serves as co-editor-in-chief of Discrete and Continuous Dynamical Systems, Series B.
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