Numerical Solutions of Stochastic Differential Equations (Kloeden, P.K. and Platen, E.; 2008) [Book reviews]

This purpose of this book is to bring to the attention of the scientific community the fact that an effective methodology for numerical solutions of applied mathematical problems and numerical schemes for particular problems or class of problems exists. The book presents many new results on high-order methods for strong sample path approximations and for weak functional approximation, including implicit, predictor corrector, extrapolation, and variance-reduction methods. Many simulation exercises are included throughout the book to assist the reader to develop hands on numerical skills and an intuitive understanding of the basis concepts and of the properties and the issues concerning implementation of the numerical schemes introduced.