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Stochastic Differential Equations: Models and Numerics

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Author: Carlsson, Moon, Szepessy, Tempone, Zouraris
Url: https://people.kth.se/~szepessy/sdepde.pdf
Format: Pdf
Year: 2010
Category: Stochastic differential equation
Pages: 202
Clicks: 60

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. Stochastic and deterministic differential equations are fundamental for the modeling in Science and Engineering.

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Stochastic Differential Equations

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