This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. Th

Stochastic numerical methods play an important role in large scale computations in the applied sciences. The first goal of this book is to give a mathematical d

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas

Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book