NUMERICAL METHODS FOR STOCHASTIC PROCESSES by Nicolas BOULEAU and Dominique LEPINGLE Sortie : 1994 Éditeur : John Wiley & Sons

Based on a postgraduate course given by the authors at the University of Paris, the specialized computer simulation programs offered in Numerical Methods for Stochastic Processes are applicable to virtually every field of applied and social science. Throughout, the emphasis is Monte Carlo and shift methods, as welle as so-called quasi-Monte Carlo methods. In addition to a wealth of practical tools and techniques, the authors provide a broad introduction to the field in which they present the status of the main methods and ideas up to now in use and the cases for which they have been proved.