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Numerical Solution of Stochastic Differential Equations /
The numerical analysis of stochastic differential equations differs significantly from that of ordinary differential equations due to peculiarities of stochastic calculus. This book provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
1992.
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| Colección: | Applications of Mathematics, Stochastic Modelling and Applied Probability ;
23. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 1. Probability and Statistics
- 2. Probability and Stochastic Processes
- 3. Ito Stochastic Calculus
- 4. Stochastic Differential Equations
- 5. Stochastic Taylor Expansions
- 6. Modelling with Stochastic Differential Equations
- 7. Applications of Stochastic Differential Equations
- 8. Time Discrete Approximation of Deterministic Differential Equations
- 9. Introduction to Stochastic Time Discrete Approximation
- 10. Strong Taylor Approximations
- 11. Explicit Strong Approximations
- 12. Implicit Strong Approximations
- 13. Selected Applications of Strong Approximations
- 14. Weak Taylor Approximations
- 15. Explicit and Implicit Weak Approximations
- 16. Variance Reduction Methods
- 17. Selected Applications of Weak Approximations
- Solutions of Exercises
- Bibliographical Notes.