| Titre : |
Numerical solution of stochastic differential equations |
| Type de document : |
texte imprimé |
| Auteurs : |
Peter E. Kloeden, Auteur ; E. Platen, Auteur |
| Mention d'édition : |
2nd. Ed. |
| Editeur : |
Berlin : Springer-Verlag |
| Année de publication : |
1995 |
| Collection : |
Applications of mathematics num. 23 |
| Importance : |
XXXV-632 P. |
| Présentation : |
Relié. Graph. |
| Format : |
23 cm |
| ISBN/ISSN/EAN : |
978-3-540-54062-5 |
| Langues : |
Anglais (eng) |
| Catégories : |
(02.50) Theorie des Probabilites, processus stochastiques et statistiques. Theorie de l'information
|
| Mots-clés : |
stochastic analysis probability theory differential equations |
| Index. décimale : |
02.50 |
| Résumé : |
part i. preliminaries chap 1. probability and statistics chap 2. probability and stochastic process part ii. chap 3. ito stochastic calculus chap 4. stochastic differential equations chap 5. stochastic taylor expansions part iii. applications of stochastic differential equations chap 6. modelling with stochastic differential equations chap 7. applications of stochastic differential equations part iv. time discrete approximations chap 8. time discrete approximation of deterministic equations chap 9. introduction to stochastic time discrete approximation part v strong approximations chap 10. strong taylor approximations chap 11. explicit strong approximations chap 12. implicit strong approximations chap 13. selected applications of strong approximations part vi. weak approximations chap 14. weak taylor approximations chap 15. explicit and implicit weak approximations chap 16. variance reduction methods chap 17. selected applications of weak approximations |
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