Numerical Methods for Stochastic Processes

Nicolas Bouleau, Dominique Lépingle (Autoren)

Buch | Hardcover

384 Seiten

1994
Wiley-Interscience (Verlag)
978-0-471-54641-2 (ISBN)

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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.

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.

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.

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.

Erscheint lt. Verlag	7.2.1994
Reihe/Serie	Wiley Series in Probability and Statistics
Sprache	englisch
Maße	161 x 242 mm
Gewicht	683 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-10	0-471-54641-0 / 0471546410
ISBN-13	978-0-471-54641-2 / 9780471546412
Zustand	Neuware