Beyn, Wolf-Jürgen / Kruse, Raphael
Numerical Analysis of Stochastic Processes
Series:De Gruyter Textbook
- 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.