【书名】Numerical Solution of Stochastic Differential Equations
【中文译名】 随机微分方程数值解
【作者】Peter E. Kloeden (Author), Eckhard Platen (Author)
【格式】PDF超清晰版，668页，5个rar文件
【简介】The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations, due to the peculiarities of stochastic calculus. The book proposes to the reader whose background knowledge is limited to undergraduate level methods for engineering and physics, and easily accessible introductions to SDE and then applications as well as the numerical methods for dealing with them. To help the reader develop an intuitive understanding and hand-on numerical skills, numerous exercises including PC-exercises are included.
【简评】内容丰富全面，行文流畅，结构合理，由浅入深，通俗易懂，是学习随机微分的好教材。适合自学。