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Numerical Solution of Stochastic Differential Equations.by Peter E. Kloeden; Eckhard Platen

✍ Scribed by Review by: Matthias Gelbrich and Werner Romisch


Book ID
124945133
Publisher
Society for Industrial and Applied Mathematics
Year
1995
Tongue
English
Weight
514 KB
Volume
37
Category
Article
ISSN
0036-1445

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In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri

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In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri