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The Resource Numerical methods for stochastic processes

Numerical methods for stochastic processes

Label
Numerical methods for stochastic processes
Title
Numerical methods for stochastic processes
Creator
Contributor
Subject
Language
eng
Cataloging source
UkLiU
http://library.link/vocab/creatorName
Bouleau, Nicolas
Index
no index present
LC call number
QA274
LC item number
.B67 1994
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
Lépingle, Dominique
Series statement
Wiley series in probability and mathematical statistics
http://library.link/vocab/subjectName
  • Stochastic processes
  • Monte Carlo method
Label
Numerical methods for stochastic processes
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 337-351) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Preliminaries -- A. Set Theory and General Topology -- B. Probability Theory -- C. Random Processes -- D. Wiener-Levy Calculus -- 2. Computation of Expectations in Finite Dimension -- A. Mathematical Framework of Simulation -- B. The Monte Carlo Method -- C. Low-Discrepancy Sequences -- D. Numerical Computation of Conditional Expectation -- 3. Simulation of Random Processes -- A. Integration in Large or Infinite Dimensions -- B. Representations of Stationary Fields -- C. Markov Processes -- D. Processes with Stationary Independent Increments -- E. Point Processes -- 4. Deterministic Resolution of Some Markovian Problems -- A. Elements in Markovian Potential Theory -- B. Balayage Algorithms -- C. Reduced Function Algorithm -- D. The Carre du Champ Operator -- 5. Stochastic Differential Equations and Brownian Functionals -- A. Lipschitzian Stochastic Differential Equations: Ito's Theorem -- B. Discretization of SDEs -- C. Irregularity of Brownian Functionals -- D. Simulatable Functionals -- E. Symbolic Expansions of Solutions to SDEs -- F. Application of the Shift Method to Multiple Wiener Integrals and to Solutions of SDEs
Dimensions
25 cm.
Extent
xvii, 359 pages
Isbn
9780471546412
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Label
Numerical methods for stochastic processes
Publication
Bibliography note
Includes bibliographical references (pages 337-351) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Preliminaries -- A. Set Theory and General Topology -- B. Probability Theory -- C. Random Processes -- D. Wiener-Levy Calculus -- 2. Computation of Expectations in Finite Dimension -- A. Mathematical Framework of Simulation -- B. The Monte Carlo Method -- C. Low-Discrepancy Sequences -- D. Numerical Computation of Conditional Expectation -- 3. Simulation of Random Processes -- A. Integration in Large or Infinite Dimensions -- B. Representations of Stationary Fields -- C. Markov Processes -- D. Processes with Stationary Independent Increments -- E. Point Processes -- 4. Deterministic Resolution of Some Markovian Problems -- A. Elements in Markovian Potential Theory -- B. Balayage Algorithms -- C. Reduced Function Algorithm -- D. The Carre du Champ Operator -- 5. Stochastic Differential Equations and Brownian Functionals -- A. Lipschitzian Stochastic Differential Equations: Ito's Theorem -- B. Discretization of SDEs -- C. Irregularity of Brownian Functionals -- D. Simulatable Functionals -- E. Symbolic Expansions of Solutions to SDEs -- F. Application of the Shift Method to Multiple Wiener Integrals and to Solutions of SDEs
Dimensions
25 cm.
Extent
xvii, 359 pages
Isbn
9780471546412
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n

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