Numerical Methods for Stochastic Processes

by Nicolas Bouleau and Dominique Lépingle

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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.

Format:Hardcover

Language:English

ISBN:0471546410

ISBN13:9780471546412

Release Date:December 1993

Publisher:Wiley-Interscience

Length:384 Pages

Weight:1.65 lbs.

Dimensions:1.1" x 6.5" x 9.6"

Related Subjects

Math Mathematics Science & Math

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Numerical Methods for Stochastic Processes

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