Tagged Questions
1
vote
1answer
140 views
Could anyone identify this book?
I am trying to find a book I once partially read without much luck.
The book's main topic, if I remember right, is stochastic processes. It was, I think, a not too heavy blue/light blue book.
The ...
2
votes
1answer
129 views
What are good references to jump from discrete to continuous time series models?
I've been studying discrete time series models for a while. I'm familiar with the usual time series models (ARMA, ARIMA, GARCH, etc.), but I want to study their continuous counterparts (CAR and CARMA ...
6
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2answers
169 views
Textbooks on the numerical solution of stochastic differential equations
Is there a canonical textbook or textbooks on the use of numerical methods in solving stochastic differential equations that you would recommend?
