Numerical Methods for Stochastic Processes

Передня обкладинка
John Wiley & Sons, 14 січ. 1994 р. - 384 стор.
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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Зміст

Preliminaries
1
Computation of Expectations in Finite Dimension
34
Simulation of Random Processes
113
Markov Processes
181
Deterministic Resolution of Some Markovian Problems
230
Stochastic Differential Equations and Brownian Functionals
269
F Application of the Shift Method to Multiple Wiener Integrals and to Solutions of SDEs
319
F1 First Factorization of the Wiener Space
320
Functions of Solutions of Lipschitz SDES
321
Functions of Multiple Wiener Integrals
323
Other Factorizations of Wiener Space
326
Notes
330
References
337
Index
353
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Про автора (1994)

Nicolas Bouleau is a mathematician, philosopher of science and essayist, professor at Ecole des Ponts Paris Tech. He was responsible for introducing computer simulation into the teaching of probability and was among the first to develop research in mathematical finance in France. Dominique Lépingle is the author of Numerical Methods for Stochastic Processes, published by Wiley.

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