Numerical Methods for Stochastic Processes
1st Edition
Published on 7. February 1994
Book
Hardback
384 pages
978-0-471-54641-2 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
United States
Publishing group
John Wiley & Sons Inc
Target group
College/higher education
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 25 mm
Weight
748 gr
ISBN-13
978-0-471-54641-2 (9780471546412)
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Schweitzer Classification
Persons
Nicolas Bouleau is a mathematician, philosopher of science and essayist, professor at Ecole des Ponts Paris Tech. He was responsible for introducing computer simulation into the teaching of probability and was among the first to develop research in mathematical finance in France. Dominique Lepingle is the author of Numerical Methods for Stochastic Processes, published by Wiley.
Content
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.