Nicolas Bouleau,
Dominique Lépingle
Numerical Methods for Stochastic Processes
Gebonden Engels 1994 9780471546412Levertijd ongeveer 8 werkdagen
Gratis verzonden
Samenvatting
Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Markovian problems and special problems related to stochastic integral and differential equations. Simulation methods are given throughout the text as well as numerous exercises.
Specificaties
ISBN13:9780471546412
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:384
Uitgever:John Wiley & Sons Inc
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Inhoudsopgave
Preliminaries.
Computation of Expectations in Finite Dimension.
Simulation of Random Processes.
Deterministic Resolution of Some Markovian Problems.
Stochastic Differential Equations and Brownian Functionals.
Notes.
References.
Index.
Computation of Expectations in Finite Dimension.
Simulation of Random Processes.
Deterministic Resolution of Some Markovian Problems.
Stochastic Differential Equations and Brownian Functionals.
Notes.
References.
Index.
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