Book review of: D. Higham and P. Kloeden, An introduction to the numerical simulation of stochastic differential equations

DOI10.1365/s13291-021-00242-4OpenAlexW3207194458WikidataQ115238630 ScholiaQ115238630MaRDI QIDQ2143335

Andreas Neuenkirch

Publication date: 31 May 2022

Published in: Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1365/s13291-021-00242-4

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis (60Hxx) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) External book reviews (00A17)

Related Items (1)

Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations

Cites Work

• Unnamed Item
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Continuous Markov processes and stochastic equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stochastic integral
• On a stochastic integral equation

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