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

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      Book details

      Published 7 February 1994
      ISBN-13 9780471546412
      978-0471546412
      ISBN-10 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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