Numerical Solution of Stochastic Differential Equations | Peter E. Kloeden, Eckhard Platen

§The book presents many new results on higher-order methods for strong sample path approximations and for weak functional approximations, including implicit, predictor-corrector, extrapolation and variance-reduction methods. Besides serving as a basic text on such methods, the book offers the reader ready access to a large number of potential resarch problems in a field that is just beginning to expand rapidly and is widely applicable.