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| Publisher | John Wiley And Sons Inc |
| ISBN 13 | 9780471546412 |
| Book Description | Stochastic models deal with mathematical expectations (the probability of events, variance, etc). This study deals with the calculation of these mathematical expectations, primarily by simulation methods. It explores the numerical use of the shift method, which has considerable advantages as far as computers are concerned. The authors present the main methods and ideas in the field, and signal the sort of problems raised by new methods. Topics presented include Monte Carlo and quasi-Monte Carlo methods, the simulation of major stochastic processes and deterministic methods adapted to Markovian problems, as well as special problems related to stochastic integral and differential equations. |
| 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. |
| Language | English |
| Author | Nicolas Bouleau, Dominique Lepingle |
| Publication Date | 34334 |
| Number of Pages | 384 |
Numerical Methods For Stochastic Processes hardcover english - 34334
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