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Stochastic Differential Equations: Models and Numerics
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  • Title Stochastic Differential Equations: Models and Numerics
  • Author(s) Jesper Carlsson, Kyoung-Sook Moon, Anders Szepessy, Ra´ul Tempone, Georgios Zouraris
  • Publisher: KTH (Kungliga Tekniska Högskolan) ROYAL INSTITUTE OF TECHNOLOGY (February 2, 2010)
  • Hardcover/Paperback N/A
  • eBook PDF (202 pages, 2.3 MB)
  • Language: English
  • ISBN-10/ASIN: N/A
  • ISBN-13: N/A
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Book Description

The goal of this book is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and mathematical finance. Typically, these problems require numerical methods to obtain a solution and therefore the course focuses on basic understanding of stochastic and partial differential equations to construct reliable and efficient computational methods.

About the Authors
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