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
     
 

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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 equation

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

1. Monte-Carlo methods and Integration
2. Transport equations and processes
3. The Monte-Carlo method for the transport equations
4. The Monte-Carlo method for the Boltzmann equation
5. The Monte-Carlo method for diffusion equations
Bibliography
Index

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