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Více informací o knize Numerical Methods for Stochastic Processes

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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Applied mathematics

• Plný název: Numerical Methods for Stochastic Processes
• Autor: Nicolas Bouleau, Dominique Lepingle
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 384
• EAN: 9780471546412
• ISBN: 0471546410
• ID: 04892071
• Nakladatelství: John Wiley & Sons Inc
• Hmotnost: 758 g
• Rozměry: 240 × 166 × 27 mm
• Datum vydání: 07. February 1994

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