Name: Numerical Solution of Stochastic Differential Equations
ISBN: 9783642081071

Book information

Authors: Peter E. Kloeden verified identity, Eckhard Platen verified identity
First published: 1992
Editions known: 2
Publishers: Springer Berlin Heidelberg
Languages: eng
ISBN-13: 9783642081071, 9783662126165
Main topics: Stochastic Calculus, Numerical Methods
Also covers: Mathematical Finance
Related site topics: Stochastic Control & Optimal Stopping

Overview

Numerical Solution of Stochastic Differential Equations is a book by Peter E. Kloeden and Eckhard Platen, first published in 1992. In this catalogue it is classified mainly under Stochastic Calculus and Numerical Methods, with secondary coverage of Mathematical Finance.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (8/10); readers are typically expected to know calculus, differential equations, linear algebra, numerical analysis, optimization, probability theory, statistics and stochastic processes.

Orientation. The theory-versus-practice balance could not be determined from metadata. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 95% and difficulty confidence is 99%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	69/100 confidence 95% Score 69.4/100. Strongest: quant_relevance 0.85, technical_depth 0.82; weakest: practical_applicability 0.06. Evidence: subjects:'mathematical finance'.
Mathematical difficulty	Advanced (8/10) confidence 99%
Prerequisites	calculus, differential equations, linear algebra, numerical analysis, optimization, probability theory, statistics, stochastic processes
Metadata quality	98%

Difficulty evidence (8 signals)

binomial_models matched in ol_description: “discrete time”
intro_statistics matched in subjects: “statistics for”
mathematical_finance_core matched in subjects: “mathematical finance”
numerical_methods matched in ol_description: “numerical analysis”
numerical_methods matched in subjects: “numerical analysis”
optimization matched in openalex_topics: “optimization”
probability_basics matched in subjects: “probability”
sde_pde matched in ol_description: “stochastic differential equations”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Topic similarity inferred similarity 0.53
Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models Topic similarity inferred similarity 0.50
How can the dual martingale help solving the primal optimal stopping problem? Topic similarity inferred similarity 0.49
Boundary error control for numerical solution of BSDEs by the convolution-FFT method Topic similarity inferred similarity 0.49
Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains Topic similarity inferred similarity 0.48
Optimal control problems for stochastic processes with absorbing regime Topic similarity inferred similarity 0.47

Methods covered

Optimization Methods inferred
Stochastic Calculus & Continuous-Time Models inferred

Similar books

From elementary probability to stochastic differential equations with Maple inferred similarity 0.80
Stochastic calculus for fractional Brownian motion and applications inferred similarity 0.78
Forward-backward stochastic differential equations and their applications inferred similarity 0.74
Option Theory with Stochastic Analysis inferred similarity 0.71
Stochastic Analysis And Applications To Finance inferred similarity 0.69

Author profiles

Peter E. Kloeden verified identity
Eckhard Platen verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9783662126165) (search link; may be an affiliate link)

Relationship graph

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