Introduction to Monte-Carlo Methods for Transport and Diffusion Equations

by B. Lapeyre, ï. Pardoux, R. Sentis, Alan Craig, Fionn Craig

Overview

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 example.

Product Details

ISBN-13:	9780198525936
Publisher:	Oxford University Press
Publication date:	10/09/2003
Series:	Oxford Texts in Applied and Engineering Mathematics , #6
Edition description:	New Edition
Pages:	174
Product dimensions:	9.14(w) x 6.10(h) x 0.36(d)

About the Author

Ecole Nationale des Ponts et Chaussees, Marne-la-Vallee

Universite de Provence, Marseille

Commissariat a l'Energie Atomique Bruyeres-le-Chatel

University of Durham

Table of Contents

1. Monte-Carlo methods and Integration2. Transport equations and processes3. The Monte-Carlo method for the transport equations4. The Monte-Carlo method for the Boltzmann equation5. The Monte-Carlo method for diffusion equationsBibliographyIndex