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.
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