Numerical methods for stochastic processes
Nicolas Bouleau, Dominique Lépingle.
New York : Wiley, ©1994.
xvii, 359 págs. : ilustraciones ; 25 cm.
Serie: Wiley series in probability and mathematical statistics. Applied probability and statistics
ISBN: 0471546410
"A Wiley-Interscience publication."
Incluye referencias bibliográficas (p. 337-351) e índice.
Reseña: MathSciNet, 95h:60090
Contenido
- 1. Preliminaries
- 2. Computation of expectations in finite dimension
- 3. Simulation of random processes
- 4. Deterministic resolution of some Markovian problems
- 5. Stochastic differential equations and Brownian functionals.