Simulation and Inference for Stochastic Differential Equations

Name: Simulation and Inference for Stochastic Differential Equations
Author: Stefano M. Iacus

With R Examples

Paperback Engels 2010 9781441926074

€ 132,99

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Samenvatting

This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too.