Stochastic Differential Equations: Models and Numerics
by Anders Szepessy, et al.
Publisher: KTH 2010
Number of pages: 202
Description:
The goal of this course is to give useful understanding for solving problems formulated by stochastic differential equations models in science, engineering and mathematical finance. Typically, these problems require numerical methods to obtain a solution and therefore the course focuses on basic understanding of stochastic and partial differential equations to construct reliable and efficient computational methods.
Download or read it online for free here:
Download link
(2.3MB, PDF)
Similar books
Lectures on Singular Stochastic PDEsby M. Gubinelli, N. Perkowski - arXiv
The aim is to introduce the basic problems of non-linear PDEs with stochastic and irregular terms. We explain how it is possible to handle them using two main techniques: the notion of energy solutions and that of paracontrolled distributions.
(5059 views)
Stochastic Analysis - Notesby I. F. Wilde
A gentle introduction to the mathematics of Stochastic Analysis. From the table of contents: Introduction; Conditional expectation; Martingales; Stochastic integration - informally; Wiener process; Ito's formula; Bibliography.
(13339 views)
Lectures on Stochastic Processesby K. Ito - Tata Institute of Fundamental Research
The book discusses the elementary parts of Stochastic Processes from the view point of Markov Processes. Topics: Markov Processes; Srong Markov Processes; Multi-dimensional Brownian Motion; Additive Processes; Stochastic Differential Equations; etc.
(10436 views)
Lectures on Stochastic Flows and Applicationsby H. Kunita - Tata Institute Of Fundamental Research
The author presents basic properties of stochastic flows, specially of Brownian flows and their relations with local characteristics and with stochastic differential equations. Various limit theorems for stochastic flows are presented.
(7502 views)