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Numerical Methods for Stochastic Processes / Edition 1
     

Numerical Methods for Stochastic Processes / Edition 1

by Nicolas Bouleau, Dominique Lepingle, Lepingle
 

ISBN-10: 0471546410

ISBN-13: 9780471546412

Pub. Date: 12/31/1993

Publisher: Wiley

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

Overview

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.

Product Details

ISBN-13:
9780471546412
Publisher:
Wiley
Publication date:
12/31/1993
Series:
Wiley Series in Probability and Statistics Series , #273
Pages:
384
Product dimensions:
6.32(w) x 9.53(h) x 1.07(d)

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.

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