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Numerical Methods for Stochastic Processes

ISBN: 978-0-471-54641-2
Hardcover
384 pages
January 1994
List Price: US $244.50
Government Price: US $168.92
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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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