LEADER 04202nam a2200577 i 4500001 99126747150006421 005 20241120180342.0 006 m eo d 007 cr ||||||||||| 008 221214s2021 paua fob 001 0 eng d 010 2020042062 020 1-61197-643-X 024 7 10.1137/1.9781611976434 |2doi 028 50 OT169 |bSIAM 035 (CKB)5690000000109055 035 (NjHacI)995690000000109055 035 (CaBNVSL)thg00083514 035 (SIAM)9781611976434 035 (EXLCZ)995690000000109055 040 CaBNVSL |beng |erda |cCaBNVSL |dCaBNVSL 050 4 QA274.23 |b.H54 2021eb 072 7 MAT041000 |2bisacsh 072 7 MAT007000 |2bisacsh 072 7 MAT003000 |2bisacsh 072 7 MAT029040 |2bisacsh 082 04 519.22 |223 100 1 Higham, Desmond J., |d1964- |eauthor. 245 13 An introduction to the numerical simulation of stochastic differential equations / |cDesmond J. Higham, Peter E. Kloeden. 264 1 Philadelphia, Pennsylvania : |bSociety for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), |c[2021] 300 1 online resource ( xv, 277 pages) : |billustrations. 336 text |btxt |2rdacontent 337 computer |bc |2rdamedia 338 online resource |bcr |2rdacarrier 490 1 [Other titles in applied mathematics] ; |vOT169 500 Includes index. 505 0 Random variables -- Computer simulation -- Brownian motion -- Stochastic integrals -- Stochastic differential equations -- The Itô formula -- Itô versus Stratonovich -- Euler-Maruyama -- Weak convergence -- Strong convergence -- Implicit methods and numerical stability -- Mean exit times -- Exotic options -- Steady states -- Multilevel Monte Carlo -- Jumps -- Higher-order methods -- Systems of stochastic differential equations -- Numerical methods for systems -- Chemical kinetics. 520 3 This book provides a lively and accessible introduction to the numerical solution of stochastic differential equations with the aim of making this subject available to the widest possible readership. Although introductory, the book covers a range of modern research topics, including Itô versus Stratonovich calculus, implicit methods, stability theory, nonconvergence on nonlinear problems, multilevel Monte Carlo, approximation of double stochastic integrals, and tau leaping for chemical and biochemical reaction networks. An Introduction to the Numerical Simulation of Stochastic Differential Equations presents an outline of the underlying convergence and stability theory while avoiding technical details, illustrates key ideas with numerous computational examples, lists computer code at the end of each chapter, and includes 150 exercises, with solutions available online, and 40 programming tasks. This textbook is appropriate for undergraduates and postgraduates in mathematics, engineering, physics, chemistry, finance, and related disciplines, as well as researchers in these areas. The material assumes only a competence in algebra and calculus at the level reached by a typical first-year undergraduate mathematics class, and prerequisites are kept to a minimum. Some familiarity with basic concepts from numerical analysis and probability is also desirable but not necessary. 588 Description based on title page of print version. 530 Also available in print version. 538 Mode of access: World Wide Web. 538 System requirements: Adobe Acrobat Reader. 504 Includes bibliographical references (pages 259-271) and index. 650 0 Stochastic differential equations |xNumerical solutions. 650 7 MATHEMATICS / Numerical Analysis. |2bisacsh 650 7 MATHEMATICS / Differential Equations / General. |2bisacsh 650 7 MATHEMATICS / Applied. |2bisacsh 650 7 MATHEMATICS / Probability & Statistics / Stochastic Processes. |2bisacsh 776 |z1-61197-642-1 700 1 Kloeden, Peter E., |eauthor. 710 2 Society for Industrial and Applied Mathematics, |epublisher. 830 0 Other titles in applied mathematics. 906 BOOK