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.

Numerical Methods for Stochastic Processes

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Hardback by Nicolas Bouleau , 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... Read more

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

    Number of Pages: 384

    Non Fiction , Mathematics & Science , Education

    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.

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