Simulation and Inference for Stochastic Differential Equations: With R Examples / Edition 1

Simulation and Inference for Stochastic Differential Equations: With R Examples / Edition 1

by Stefano M. Iacus
     
 

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ISBN-10: 0387758380

ISBN-13: 9780387758381

Pub. Date: 05/30/2008

Publisher: Springer New York

This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential

Overview

This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too.

Product Details

ISBN-13:
9780387758381
Publisher:
Springer New York
Publication date:
05/30/2008
Series:
Springer Series in Statistics
Edition description:
2008
Pages:
286
Product dimensions:
6.30(w) x 9.30(h) x 0.80(d)
Age Range:
3 Months

Table of Contents

Stochastic Processes and Stochastic Differential Equations.- Numerical Methods for SDE.- Parametric Estimation.- Miscellaneous Topics.

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