Numerical Methods for Stochastic Processes

by Nicolas Bouleau and Dominique Lépingle

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.

• Format: Hardcover
• Language: English
• ISBN: 0471546410
• ISBN13: 9780471546412
• Release Date: December 1993
• Publisher: Wiley-Interscience
• Length: 384 Pages
• Weight: 1.65 lbs.
• Dimensions: 1.1" x 6.5" x 9.6"