Title: Introduction to Monte-Carlo Methods for Transport and Diffusion Equations (Oxford Texts in Applied and Engineering Mathematics)
Publisher: Oxford University Press
Publication Date: 2003
Language: English
ISBN 10: 0198525931
ISBN 13: 9780198525936
Binding: Soft cover
Condition: New

About this title

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.

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.

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