Monte-Carlo Methods and Stochastic Processes
CRC Press
Monte-Carlo Methods and Stochastic ProcessesFrom Linear to Non-Linear\nAuthor(s): Emmanuel Gobet\nFormat: Paperback\nPublisher: Taylor & Francis Ltd, United Kingdom\nImprint: Chapman & Hall/CRC\nISBN-13: 9780367658465, 978-0367658465\nSynopsis\nDeveloped from the authors 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.\n\nThe 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.
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