Numerical Methods for Stochastic Processes

Nicolas Bouleau

ISBN 10: 0471546410 / ISBN 13: 9780471546412

Edité par John Wiley and Sons Ltd, 1993

A propos de cet article

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. Series: Wiley Series in Probability and Statistics. Num Pages: 384 pages, black & white illustrations. BIC Classification: PBT; PBWL. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 239 x 167 x 28. Weight in Grams: 710. . 1993. 1st Edition. Hardcover. . . . . Books ship from the US and Ireland.

N° de réf. du vendeur V9780471546412

Détails bibliographiques

• Titre: Numerical Methods for Stochastic Processes
• Éditeur: John Wiley and Sons Ltd
• Date de parution: 1993
• Langue: anglais
• ISBN à 10 chiffres: 0471546410
• ISBN à 13 chiffres: 9780471546412
• Reliure: Couverture rigide
• État de l'article: New

A propos de ce titre

Synopsis

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.

À propos de l?auteur

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.