Numerical Methods for Stochastic Processes

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.

Spis treści:
Preliminaries.
Computation of Expectations in Finite Dimension.
Simulation of Random Processes.
Deterministic Resolution of Some Markovian Problems.
Stochastic Differential Equations and Brownian Functionals.
Notes.
References.
Index.