Stochastic Simulation and Monte Carlo Methods

Language: English

Published by Springer Berlin Heidelberg Aug 2015, 2015

3642438407 / 9783642438400

Series: Book 27 of 30 - Stochastic Modelling and Applied Probability

  • Softcover
  • New
See all details

Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

5-star seller

AbeBooks seller since January 11, 2012

View this seller's items
Softcover

Condition: New

US$ 63.07

US$ 26.33 shipping 
Ships from Germany to U.S.A.

Quantity: 2 available

Add to basket
Free 30-day returns

Item description from seller

This item is printed on demand - it takes 3-4 days longer - Neuware -In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners' aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations. 280 pp. Englisch.

Seller Inventory # 9783642438400

Title
Stochastic Simulation and Monte Carlo Methods
Author
Denis Talay
Publisher
Springer Berlin Heidelberg Aug 2015
Publication year
2015
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3642438407
ISBN 13
9783642438400
Item weight
429 grams
Dimensions
235x155x16 mm
Series
Book 27 of 30: Stochastic Modelling and Applied Probability

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

Item5 to 15 business days5 to 15 business days
First itemUS$ 26.33US$ 26.33
Delivery times are set by sellers and vary by carrier and location. Orders passing through Customs may face delays and buyers are responsible for any associated duties or fees. Sellers may contact you regarding additional charges to cover any increased costs to ship your items.

Payment methods

  • Visa
  • Mastercard
  • American Express
  • Apple Pay
  • Google Pay
  • Bank Wire Transfer
  • Check
  • Paypal

Seller's business information

BuchWeltWeit Ludwig Meier e.K.

Germany