**Stochastic Differential Equations: Models and Numerics**

by Anders Szepessy, et al.

**Publisher**: KTH 2010**Number of pages**: 202

**Description**:

The goal of this course 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.

Download or read it online for free here:

**Download link**

(2.3MB, PDF)

## Similar books

**Markov Chains and Stochastic Stability**

by

**S.P. Meyn, R.L. Tweedie**-

**Springer**

The book on the theory of general state space Markov chains, and its application to time series analysis, operations research and systems and control theory. An advanced graduate text and a monograph treating the stability of Markov chains.

(

**21936**views)

**Lectures on Singular Stochastic PDEs**

by

**M. Gubinelli, N. Perkowski**-

**arXiv**

The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.

(

**6405**views)

**Advanced Stochastic Processes**

by

**Jan A. Van Casteren**-

**Bookboon**

In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, Brownian motion as a martingale, Markov chains, renewal theory, etc.

(

**7711**views)

**Nonlinear Parameter Estimation: An Integrated System in Basic**

by

**John C. Nash**-

**Marcel Dekker Inc**

This book and software collection is intended to help scientists, engineers and statisticians in their work. We have collected various software tools for nonlinear parameter estimation, along with representative example problems.

(

**14680**views)