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Item Details
Title: INTRODUCTION TO MONTE-CARLO METHODS FOR TRANSPORT AND DIFFUSION EQUATIONS
By: Bernard Lapeyre, Etienne Pardoux, Remi Sentis
Format: Hardback

List price: £54.00
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ISBN 10: 0198525923
ISBN 13: 9780198525929
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Publisher: OXFORD UNIVERSITY PRESS
Series: Oxford Texts in Applied and Engineering Mathematics 6
Pages: 174
Translated from: French
Description: 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 real-life scenarios.
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. This is the sixth volume in the Oxford Texts in Applied and Engineering Mathematics series, which includes texts based on taught courses that explain the mathematical or computational techniques required for the resolution of fundamental applied problems, from the undergraduate through to the graduate level.Other books in the series include: Jordan & Smith: Nonlinear Ordinary Differential Equations: An introduction to Dynamical Systems; Sobey: Introduction to Interactive Boundary Layer Theory; Scott: Nonlinear Science: Emergence and Dynamics of Coherent Structures; Tayler: Mathematical Models in Applied Mechanics; Ram-Mohan: Finite Element and Boundary Element Applications in Quantum Mechanics; Elishakoff and Ren: Finite Element Methods for Structures with Large Stochastic Variations.
Illustrations: 2 figures
Publication: UK
Imprint: Oxford University Press
Returns: Returnable
Some other items by this author:
INTRODUCTION TO MONTE-CARLO METHODS FOR TRANSPORT AND DIFFUSION EQUATIONS (PB)
INTRODUCTION TO STOCHASTIC CALCULUS APPLIED TO FINANCE
INTRODUCTION TO STOCHASTIC CALCULUS APPLIED TO FINANCE (HB)
INTRODUCTION TO STOCHASTIC CALCULUS APPLIED TO FINANCE (HB)
INTRODUCTION TO STOCHASTIC CALCULUS APPLIED TO FINANCE, SECOND EDITION
MARKOV PROCESSES AND APPLICATIONS
MARKOV PROCESSES AND APPLICATIONS
MARKOV PROCESSES AND APPLICATIONS (HB)
MATHEMATICAL MODELS AND METHODS FOR PLASMA PHYSICS, VOLUME 1 (HB)
MATHEMATICAL MODELS AND METHODS FOR PLASMA PHYSICS, VOLUME 1 (PB)
METHODES DE MONTE-CARLO POUR LES EQUATIONS DE TRANSPORT ET DE DIFFUSION (PB)
PROBABILISTIC MODELS OF POPULATION EVOLUTION (PB)
STOCHASTIC DIFFERENTIAL EQUATIONS, BACKWARD SDES, PARTIAL DIFFERENTIAL EQUATIONS (HB)
STOCHASTIC DIFFERENTIAL EQUATIONS, BACKWARD SDES, PARTIAL DIFFERENTIAL EQUATIONS (PB)
STOCHASTIC DIFFERENTIAL SYSTEMS (PB)
STOCHASTIC FILTERING AT SAINT-FLOUR
STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

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