Monte-Carlo methods is the generic term given to numerical methods that use sampling of random numbers. This text is aimed at graduate students in mathematics, physics, engineering, economics, finance and the biosciences that are interested in using Monte-Carlo methods for the resolution of partial differential equations, transport equations, the Boltzmann equation and the parabolic equations of diffusion. It includes applied examples, particularly in mathematical finance, along with discussion of the limits of the methods and description of specific techniques used in practice for each...
Monte-Carlo methods is the generic term given to numerical methods that use sampling of random numbers. This text is aimed at graduate students in mat...
Monte-Carlo methods is the generic term given to numerical methods that use sampling of random numbers. This text is aimed at graduate students in mathematics, physics, engineering, economics, finance and the biosciences that are interested in using Monte-Carlo methods for the resolution of partial differential equations, transport equations, the Boltzmann equation and the parabolic equations of diffusion. It includes applied examples, particularly in mathematical finance, along with discussion of the limits of the methods and description of specific techniques used in practice for each...
Monte-Carlo methods is the generic term given to numerical methods that use sampling of random numbers. This text is aimed at graduate students in mat...
Le but de ce livre est de donner une introduction aux methodes de Monte-Carlo orientee vers la resolution des equations aux derivees partielles. Apres des rappels sur les techniques de simulation, de reduction de variance et de suites a discrepance faible, les auteurs traitent en detail le cas des equations de transport, de l'equation de Boltzmann et des equations paraboliques de diffusion. Dans chaque cas ils introduisent les processus aleatoires associees et discutent les techniques d'implementation.
Le but de ce livre est de donner une introduction aux methodes de Monte-Carlo orientee vers la resolution des equations aux derivees partielles. Ap...
El Karoui: Les aspects probabilistes du controle stochastique.- Pardoux, Etienne: Filtrage non lineaire et equations aux derivees partielles stochastiques associees.- Yor, M.: Sur la theorie du filtrage.
El Karoui: Les aspects probabilistes du controle stochastique.- Pardoux, Etienne: Filtrage non lineaire et equations aux derivees partielles stochasti...
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each...
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections...
Presenting the mathematical description of evolutionary models of populations subject to interactions (e.g. competition) in the population, this book includes models of finite populations, and limiting models as the size of the population tends to infinity. The material could be used for teaching stochastic processes and their applications.
Presenting the mathematical description of evolutionary models of populations subject to interactions (e.g. competition) in the population, this book ...
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each...
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections...
