Numerical Analysis of Stochastic Processes

Beschreibung

This textbook is a introduction to the art of analysing, approximating and solving stochastic differential equations. Random number generation and Monte Carlo methods as well as convergence theorems and discretisation effects are discussed. Apart from mathematical problems, these equations occur in physical, engineering and economic models, e.g., due to a lack of knowledge of the underlying complex systems.

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Wolf-Jürgen Beyn

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Stochastische Differentialgleichung Stochastischer Prozess

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