Introduction to Monte-Carlo Methods for Transport and Diffusion Equations

Introduction to Monte-Carlo Methods for Transport and Diffusion Equations

by B. Lapeyre, E. Pardoux, R. Sentis, Alan Craig
     
 

ISBN-10: 0198525931

ISBN-13: 9780198525936

Pub. Date: 10/28/2003

Publisher: Oxford University Press, USA


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…  See more details below

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, USA
Publication date:
10/28/2003
Series:
Oxford Texts in Applied and Engineering Mathematics Series, #6
Pages:
176
Product dimensions:
9.10(w) x 6.10(h) x 0.40(d)

Table of Contents

1Monte-Carlo methods and integration1
2Transport equations and processes21
3The Monte-Carlo method for the transport equations53
4The Monte-Carlo method for the Boltzmann equation87
5The Monte-Carlo method for diffusion equations107
References157
Index162

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