Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear - Tapa blanda

Gobet, Emmanuel

 
9780367658465: Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
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ISBN 10: 0367658461 ISBN 13: 9780367658465
Editorial: Chapman and Hall/CRC, 2020

Sinopsis

Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (PDEs). It covers linear and nonlinear problems in biology, finance, geophysics, mechanics, chemistry, and other application areas. The text also thoroughly develops the problem of numerical integration and computation of expectation by the Monte-Carlo method.

The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.

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Acerca del autor

Emmanuel Gobet is a professor of applied mathematics at Ecole Polytechnique. His research interests include algorithms of probabilistic type and stochastic approximations, financial mathematics, Malliavin calculus and stochastic analysis, Monte Carlo simulations, statistics for stochastic processes, and statistical learning.

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Editorial
Chapman and Hall/CRC
Año de publicación
2020
Idioma
Inglés
ISBN 10 
0367658461
ISBN 13 
9780367658465
Encuadernación
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Número de edición
1
Número de páginas
336
Contacto del fabricante
Taylor and Francis, GPSR Taylor and Francis
gpsr@taylorandfrancis.com

Taylor & Francis Verlag GmbH, Kaufingerstraße 24
München
80331
Alemania

Otras ediciones populares con el mismo título

9781498746229: Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear

Edición Destacada

ISBN 10:  1498746225 ISBN 13:  9781498746229
Editorial: Chapman and Hall/CRC, 2016
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