Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear pdf
Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear pdf
Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear.cEmmanuel Gobet
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Author: Emmanuel Gobet
Page Count: 336 pages
Published Date: 11 Aug 2016
Publisher: Taylor & Francis Inc
Publication Country: Portland, United States
Language: English
ISBN: 9781498746229
File Name: Monte-Carlo.Methods.and.Stochastic.Processes.From.Linear.to.Non-Linear.pdf
Download Link: Monte-Carlo Methods and Stochastic Processes From Linear to Non-Linear
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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.
Read online Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear Buy Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear Download and read Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear for pc, mac, kindle, readers Download to iPad/iPhone/iOS, B&N nook Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear
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Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear.cEmmanuel Gobet
Author: Emmanuel Gobet
Page Count: 336 pages
Published Date: 11 Aug 2016
Publisher: Taylor & Francis Inc
Publication Country: Portland, United States
Language: English
ISBN: 9781498746229
File Name: Monte-Carlo.Methods.and.Stochastic.Processes.From.Linear.to.Non-Linear.pdf
Download Link: Monte-Carlo Methods and Stochastic Processes From Linear to Non-Linear
---------------------------------------------------------------
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.
Read online Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear Buy Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear Download and read Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear for pc, mac, kindle, readers Download to iPad/iPhone/iOS, B&N nook Monte-Carlo Methods and Stochastic Processes : From Linear to Non-Linear
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