An Introduction to the Numerical Simulation of Stochastic Di?erential Equations

Although introductory, the book covers a range of modern research topics, including Itô versus Stratonovich calculus, implicit methods, stability theory, nonconvergence on nonlinear problems, multilevel Monte Carlo, approximation of double stochastic integrals, and tau leaping for chemical and biochemical reaction networks.

An Introduction to the Numerical Simulation of Stochastic Differential Equations is appropriate for undergraduates and postgraduates in mathematics, engineering, physics, chemistry, finance, and related disciplines, as well as researchers in these areas. The material assumes only a competence in algebra and calculus at the level reached by a typical first-year undergraduate mathematics class, and prerequisites are kept to a minimum. Some familiarity with basic concepts from numerical analysis and probability is also desirable but not necessary.