Jump to ContentJump to Main Navigation
Show Summary Details

Beyn, Wolf-Jürgen / Kruse, Raphael

Numerical Analysis of Stochastic Processes

Series:De Gruyter Textbook

    500,00 € / $575.99 / £454.50*

    eBook (EPUB)
    Publication Date:
    To be published:
    March 2021
    See all formats and pricing


    • A pedagogical presentation of numerics for stochastic processes.
    • Covers tools to use stochastic processes in applications in a scientific or engineering context.
    • Includes new trends such as multilevel Monte Carlo methods.

    Aims and Scope

    This textbook is a introduction to the art of analysing, approximating and solving stochastic differential equations. Random number generation and Monte Carlo methods as well as convergence theorems and discretisation effects are discussed. Apart from mathematical problems, these equations occur in physical, engineering and economic models, e.g., due to a lack of knowledge of the underlying complex systems.


    More ...

    Wolf-Jürgen Beyn, University of Bielefeld, Germany; Raphael Kruse, Technical University of Berlin, Germany.

    Comments (0)

    Please log in or register to comment.
    Log in