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An introduction to numerical methods for stochastic differential equations
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Numerical Solution of Sde Through Computer Experiments
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Is there any connection with application in statistics? Otherwise, it should go on math.
Numerical Solution of Sde Through Computer Experiments : P Kloeden :
Therefore, although this question is of a general nature, I see it as directly applicable to statistics and potentially of general interest here. Are you interested in a particular application of these techniques, for example, quantitative finance?
These two books may be a good starting point http: Checking on amazon I found that Iacus's book looks like it is a nice introductory book with applications to statistical inference. I am not sure if it meets the OPs goal of providing good explanations of the numerical methods used to solve the equations.
The first book recommended by beginner sounds like it covers the numerical methods and is highly regarded in the customer reviews on amazon. Sign up or log in Sign up using Google. Sign up using Facebook.