Numerical Methods for Stochastic Processes

Bouleau, Nicolas; Lepingle, Dominique

ISBN 10: 0471546410 ISBN 13: 9780471546412

Published by Wiley-Interscience, 1993

Language: English

Condition: Used - As new Hardcover

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Bibliographic Details

Title

Numerical Methods for Stochastic Processes

Publisher

Wiley-Interscience

Publication Date

1993

Language

English

ISBN 10

0471546410

ISBN 13

9780471546412

Binding

Hardcover

Condition

As New

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About this title

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.

About the Author

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 L�pingle is the author of Numerical Methods for Stochastic Processes, published by Wiley.

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