Description

Book Synopsis
This study deals with the calculations of mathematical expectations, primarily by simulation methods. The authors explore the present state of research and signal the types of problems raised by new methods. Topics discussed include Monte Carlo methods and the simulation of stochastic processes.

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.

Numerical Methods for Stochastic Processes

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A Hardback by Nicolas Bouleau, Dominique Lépingle

15 in stock


    View other formats and editions of Numerical Methods for Stochastic Processes by Nicolas Bouleau

    Publisher: John Wiley & Sons Inc
    Publication Date: 07/02/1994
    ISBN13: 9780471546412, 978-0471546412
    ISBN10: 0471546410

    Description

    Book Synopsis
    This study deals with the calculations of mathematical expectations, primarily by simulation methods. The authors explore the present state of research and signal the types of problems raised by new methods. Topics discussed include Monte Carlo methods and the simulation of stochastic processes.

    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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