Numerical Methods for Stochastic Processes

1. Auflage 1994
ISBN: 978-0-471-54641-2
Verlag: Wiley

Buch, Englisch, 384 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 748 g

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.

Autoren/Hrsg.

Bouleau, Nicolas

Lépingle, Dominique

Inhaltsverzeichnis

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.

Über Autor(innen)

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 Lépingle is the author of Numerical Methods for Stochastic Processes, published by Wiley.