Introduction to Monte-Carlo Methods for Transport and Diffusion Equations (Oxford Texts in Applied and Engineering Mathematics) - Hardcover

Lapeyre, B.; Pardoux, É.; Sentis, R.; Craig, Alan; Craig, Fionn

 
9780198525929: Introduction to Monte-Carlo Methods for Transport and Diffusion Equations (Oxford Texts in Applied and Engineering Mathematics)
Hardcover
ISBN 10: 0198525923 ISBN 13: 9780198525929
Publisher: Oxford University Press, 2003

Synopsis

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.

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About the Author

Bernard Lapeyre is at Ecole Nationale des Ponts et Chaussees, Marne-la-Vallee, France. Etienne Pardoux is at Universite de Provence, Marseille, France. Remi Sentis is Commissariat a l'ENergie Atomique Bruyeres-le-Chatel, France.

"About this title" may belong to another edition of this title.

Publisher
Oxford University Press
Publication date
2003
Language
English
ISBN 10 
0198525923
ISBN 13 
9780198525929
Binding
Hardcover
Edition number
1
Number of pages
174

Other Popular Editions of the Same Title

9780198525936: Introduction to Monte-Carlo Methods for Transport and Diffusion Equations (Oxford Texts in Applied and Engineering Mathematics)

Featured Edition

ISBN 10:  0198525931 ISBN 13:  9780198525936
Publisher: Oxford University Press, 2003
Softcover