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Numerical solution ofstochasticdifferentialequations Peter E. KloedenEckhard Platen2016 год

Numerical solution of stochastic differential equations
peer-review

Полный текстСтраница публикацииПубликация в OpenAlex
Аннотация: 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.
Год издания: 2016
Авторы: Peter E. Kloeden, Eckhard Platen
Ключевые слова: Stochastic processes and financial applications
Другие ссылки: doi.org (HTML)
Library Union Catalog of Bavaria, Berlin and Brandenburg (B3Kat Repository) (PDF)
Library Union Catalog of Bavaria, Berlin and Brandenburg (B3Kat Repository) (HTML)
eScholarship (California Digital Library) (PDF)
eScholarship (California Digital Library) (HTML)