Numerical Methods for Stochastic Processes

Dominique Lépingle

ISBN 10: 0471546410 / ISBN 13: 9780471546412

Published by Wiley Jan 1994, 1994

About this Item

Neuware - 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.

Seller Inventory # 9780471546412

Bibliographic Details

• Title: Numerical Methods for Stochastic Processes
• Publisher: Wiley Jan 1994
• Publication Date: 1994
• Language: English
• ISBN 10: 0471546410
• ISBN 13: 9780471546412
• Binding: Buch
• Condition: Neu
• Dimensions: 240W x 161H x 25D millimeters 240 millimeters width by 161 millimeters height by 25 millimeters depth
• Weight: 748 grams

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 Lépingle is the author of Numerical Methods for Stochastic Processes, published by Wiley.