Numerical methods for stochastic processes

Author(s)

• Lépingle, Dominique
• Bouleau, N.

Bibliographic Information

Numerical methods for stochastic processes

Nicolas Bouleau, Dominique Lépingle

（Wiley series in probability and mathematical statistics, . Applied probability and statistics）

Wiley, c1994

Note

"A Wiley-Interscience publication"

Includes bibliographical references (p. 337-351) and index

Description and Table of Contents

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.

Table of Contents

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.

by "Nielsen BookData"

Details

• NCID: BA21917764
• ISBN:
  • 0471546410
• LCCN: 93010302
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: New York
• Pages/Volumes: xvii, 359 p.
• Size: 25 cm
• Classification:
  • LCC : QA274
  • DC20 : 519.2
• Subject Headings:
  • LCSH : Stochastic processes -- Mathematical models
  • LCSH : Monte Carlo method
• Parent Bibliography ID:
  • BA00019013