Numerical Solution of Stochastic Differential Equations
Peter E. Kloeden
Reading Time
at 250 WPM10h 36m
The average reader, reading at a speed of 250 WPM, would take 10h 36m to read Numerical Solution of Stochastic Differential Equations.
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Numerical Solution of Stochastic Differential Equations
Published
1992
Publisher
Springer Berlin Heidelberg
Pages
636
ISBN-13
9783642081071
ISBN-10
364208107X
Description
The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to peculiarities of stochastic calculus. This book provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasising the numerical methods needed to solve such equations. It assumes of the reader an undergraduate background in mathematical methods typical of engineers and physicists, though many chapters begin with a descriptive summary. The book is also accessible to others who only require numerical recipes. The stochastic Taylor expansion provides the basis for the discrete time numerical methods for differential equations. The book presents many new results on high-order methods for strong sample path approximations and for weak functional approximations, including implicit, predictor-corrector, extra-polation and variance-reduction methods. Besides serving as a basic text on such methods, the book offers the reader ready access to a large number of potential research problems in a field that is just beginning to expand rapidly and is widely applicable. To help the reader to develop an intuitive understanding of the underlying mathematics and hand-on numerical skills, exercises and over 100 PC-Exercises are included.
Subjects
Perspectives in Analysis (Mathematical Physics Studies Book 27)
Geometric analysis, mathematical relativity, and nonlinear partial differential equations
Mathematical analysis
Problems and theorems in analysis
Mathematics of the 19th Century
Mathematical theory of incompressible non-viscous fluids
Frequently Asked Questions
How many pages are in Numerical Solution of Stochastic Differential Equations?
This edition of Numerical Solution of Stochastic Differential Equations has approximately 636 pages. Please note, this is an estimate and the exact page count can vary between hardcover, paperback, and e-book versions.
How long does it take to read Numerical Solution of Stochastic Differential Equations?
For most readers, Numerical Solution of Stochastic Differential Equations typically takes between 13h 15m and 8h 50m to complete. This is based on the book's length of approximately 159,000 words and common reading speeds.
Here's a detailed breakdown: • Continuous reading at 250 WPM: approximately 10h 36m of focused reading • Casual reading (30 minutes/day): you could finish in roughly 22 days • Estimated word count: 159,000 words
Your individual reading time will vary based on your personal reading pace, the amount of daily reading time, and your familiarity with the subject matter.
What is the word count of Numerical Solution of Stochastic Differential Equations?
The estimated word count for Numerical Solution of Stochastic Differential Equations is approximately 159,000 words. This figure is calculated using industry-standard methods that consider genre-specific word density patterns, typical formatting and layout characteristics, and standard words-per-page ratios for published books.
This is an approximation — actual word count may vary based on font size, formatting, edition, and the presence of illustrations or charts.
Who is the author of Numerical Solution of Stochastic Differential Equations?
Numerical Solution of Stochastic Differential Equations was written by Peter E. Kloeden.
When was Numerical Solution of Stochastic Differential Equations published?
The publication date for this specific edition is 1992. The original work may have been published on a different date.