Publication:5424096
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zbMath1145.60003MaRDI QIDQ5424096
Publication date: 2 November 2007
stochastic differential equation; Wiener process; stochastic control; Monte Carlo method; stochastic simulations; Poisson process; jump-diffusion
60G51: Processes with independent increments; Lévy processes
60J25: Continuous-time Markov processes on general state spaces
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H05: Stochastic integrals
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
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