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A computational study of several problems in stochastic modelling

Bover, David C. C

Description

This thesis investigates the computational aspects of two different approaches to the study of mathematical models consisting of systems of stochastic differential equations. These two approaches, presented as alternatives to the simple but usually expensive method of Monte Carlo simulation, are: (i) calculation of the appropriate probability distribution of the state variables by solution of the partial differential equation of a related diffusion model, and (ii) solution of systems...[Show more]

CollectionsOpen Access Theses
Date published: 1978-07
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/133499

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