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Numerical Methods for Stochastic Processes
Nicolas BouleauDominique Lépingle
出版John Wiley & Sons, 1994-01-14
主題Mathematics / Probability & Statistics / GeneralMathematics / GeneralMathematics / Probability & Statistics / Stochastic Processes
ISBN04715464109780471546412
URLhttp://books.google.com.hk/books?id=9MLL2RN40asC&hl=&source=gbs_api
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註釋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.