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Numerical Methods for Stochastic Processes : Wiley Series in Probability and Statistics - Nicolas Bouleau

Numerical Methods for Stochastic Processes

By: Nicolas Bouleau, Dominique Lépingle

Hardcover | 17 December 1993 | Edition Number 1

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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.

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