Читать книгу Numerical Methods in Computational Finance - Daniel J. Duffy - Страница 66

This chapter took over where Chapter 2 left off. We have tried to give a self-contained overview of the analytic properties of scalar ODEs and systems of ODEs as well as their numerical approximation. The topics are important in their own right, and an understanding of them is important in finance applications. We also gave a short introduction to stochastic differential equations (SDEs) in Section 3.4. We discuss SDEs and their relationship with PDEs in Chapter 13.