Non-Fiction Books:

Numerical Analysis of Stochastic Processes


Paperback / softback

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Numerical Analysis of Stochastic Processes by Wolf-Jurgen Beyn

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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.

Author Biography

Wolf-Jurgen Beyn, University of Bielefeld, Germany; Raphael Kruse, Technical University of Berlin, Germany.
Release date NZ
March 6th, 2021
20 Illustrations, color; 20 Illustrations, black and white
de Gruyter
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