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Numerical methods for stochastic processes

Nicolas Bouleau, Dominique Lepingle
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.
Print Book, English, [1994]
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John Wiley & Sons, New York, [1994]
Wiley series in probability and mathematical statistics
Modelos matemáticos
XVII, 359 p. ; 25 cm.
9780471546412, 0471546410
642496216
Monte Carlo, Método de
Procesos estocásticos
Procesos estocásticos Modelos econométricos
Procesos estocásticos Modelos matemáticos
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.
Índice