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Is there a canonical textbook or textbooks on the use of numerical methods in solving stochastic differential equations that you would recommend?

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Is there any connection with application in statistics? Otherwise, it should go on math.SE. – chl♦ Nov 8 '11 at 21:04
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@chl About the only conceivable use of numerical methods in SDEs (as opposed to theoretical approaches, which have applications in areas of pure mathematics such as solutions of PDEs) is to find solutions to SDEs applied to statistical problems. Therefore, although this question is of a general nature, I see it as directly applicable to statistics and potentially of general interest here. – whuber♦ Nov 8 '11 at 21:22
Are you interested in a particular application of these techniques, for example, quantitative finance? – John Doucette Nov 8 '11 at 21:28

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In addition to the Kloeden and Platen books already mentioned, the book Simulation and Inference for Stochastic Differential Equations by Stefano Iacus is good. He is also the author of the sde package for R.

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These two books may be a good starting point

http://www.amazon.com/Numerical-Stochastic-Differential-Equations-Probability/dp/3540540628

http://www.amazon.com/Numerical-Solution-Computer-Experiments-Universitext/dp/3540570748/ref=pd_bxgy_b_img_b

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Thanks a lot! It really helps. – Victor L Nov 15 '11 at 20:20
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. – Michael Chernick Aug 9 '12 at 22:35

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