Numerical Methods for Stochastic Processes

This study deals with the calculations of mathematical expectations, primarily by simulation methods. The authors explore the present state of research and signal the types of problems raised by new methods. Topics discussed include Monte Carlo methods and the simulation of 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.

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