Stochastic Differential Equations: Models and Numerics

• Category: Computer
• Author: Jesper Carlsson, Kyoung-Sook Moon, Anders Szepessy, Ra´ul Tempone, Georgios Zouraris
• File type: PDF (202 pages, 2.3 MB)

Read and download free eBook intituled Stochastic Differential Equations: Models and Numerics in format PDF (202 pages, 2.3 MB) created by Jesper Carlsson, Kyoung-Sook Moon, Anders Szepessy, Ra´ul Tempone, Georgios Zouraris.

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.

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Stochastic Differential Equations: Models and Numerics