Numerical Solution of Stochastic Differential Equations.by Peter E. Kloeden; Eckhard Platen
β 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
- DOI
- 10.2307/2132843
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π SIMILAR VOLUMES
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
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