Book review of: D. Higham and P. Kloeden, An introduction to the numerical simulation of stochastic differential equations. (English) Zbl 07534183
Review of [Zbl 1530.65005].
MSC:
| 00A17 | External book reviews |
| 65-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis |
| 60-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory |
| 65C30 | Numerical solutions to stochastic differential and integral equations |
| 60Hxx | Stochastic analysis |
Citations:
Zbl 1530.65005References:
| [1] | Clark, J. M.C.; Cameron, R. J., The maximum rate of convergence of discrete approximations for stochastic differential equations, Stochastic Differential Systems, 162-171 (1980), Berlin: Springer, Berlin |
| [2] | Higham, D. J., Mean-square and asymptotic stability of the stochastic theta method, SIAM J. Numer. Anal., 38, 3, 753-769 (2000) · Zbl 0982.60051 · doi:10.1137/S003614299834736X |
| [3] | Ito, K., Stochastic integral, Proc. Imp. Acad. (Tokyo), 20, 8, 519-524 (1944) · Zbl 0060.29105 |
| [4] | Ito, K., On a stochastic integral equation, Proc. Jpn. Acad., 22, 32-35 (1946) · Zbl 0063.02992 · doi:10.2183/pjab1945.22.32 |
| [5] | Maruyama, G., Continuous Markov processes and stochastic equations, Rend. Circ. Mat. Palermo, 4, 48-90 (1955) · Zbl 0053.40901 · doi:10.1007/BF02846028 |
| [6] | Kloeden, P. E.; Platen, E., Numerical Solution of Stochastic Differential Equations (1992), Berlin: Springer, Berlin · Zbl 0925.65261 · doi:10.1007/978-3-662-12616-5 |
| [7] | Milstein, G. N.; Tretyakov, M. V., Stochastic Numerics for Mathematical Physics (2004), Berlin: Springer, Berlin · Zbl 1085.60004 · doi:10.1007/978-3-662-10063-9 |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
