Publication:5424096

Publication date: 2 November 2007

stochastic differential equation; Wiener process; stochastic control; Monte Carlo method; stochastic simulations; Poisson process; jump-diffusion

Mathematics Subject Classification ID

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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Uses Software

Mathematica