Numerical Methods For Stochastic Processes
By: by Nicolas Bouleau, Dominique Lépingle.
Contributors: Lépingle, Dominique.
Edition: First edition
Series: Wiley series in probability and mathematical statistics. Vol 273
Publisher: Wiley
Published: 1994
Place of publication: New York
Language: eng
Format: Hardcover
Number of pages: 384
Subjects: Stochastic processes -- Mathematical models.; Monte Carlo method.
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.
Notes: Includes bibliographical references (p. 337-351) and index.
"A Wiley-Interscience publication."