Stochastic Differential Equations: Models and Numerics by Jesper Carlsson, Kyoung-Sook Moon, Anders Szepessy, Ra´ul Tempone, Georgios Zouraris
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About this book :-
The book provides a self-contained treatment on practical aspects of stochastic modeling and calculus including applications drawn from engineering, statistics, and computer science. Readers should be familiar with basic probability theory and have a working knowledge of stochastic calculus. PhD students and researchers in stochastic control will find this book useful.
Book Detail :-
This book has following details information.
Title:
Stochastic Differential Equations: Models and Numerics by Jesper Carlsson, Kyoung-Sook Moon, Anders Szepessy, Ra´ul Tempone, Georgios Zouraris by NA
Publisher:
KTH (Kungliga Tekniska Högskolan) ROYAL INSTITUTE OF TECHNOLOGY
Series:
FreeCompBooks
Year:
2019
Pages:
202
Type:
PDF
Language:
English
ISBN-10 #:
N\A
ISBN-13 #:
N\A
Country:
Pakistan
License:
N\A
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About Author :-
The author NA
NA
Book Contents :-
conver the following topics.
Introduction and Motivating Examples - Stochastic Integrals - Stochastic Differential Equations - The Feynman-K?ac Formula and the Black-Scholes Equation - The Monte-Carlo Method - Finite Difference Methods - The Finite Element Method and Lax-Milgram’s Theorem - Markov Chains, Duality and Dynamic Programming - Optimal Control
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