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Introduction to Monte-Carlo Methods for Transport and Diffusion Equations
Bernard Lapeyre, Etienne Pardoux, and Remi Sentis
Alan Craig and Fionn Craig
174 pages
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2 figures
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234x156mm
978-0-19-852593-6
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Paperback
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24 July 2003
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This item is printed to order. Items which are printed to order are normally despatched and charged within 5-10 days.
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- An unique text on the application of Monte-Carlo methods to partial differential equations
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.Readership: Graduate students and workers in mathematics, physics, engineering, economics, finance, and the biosciences that are interested in using Monte-Carlo methods of probability for scenario simulation and modelling
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Bernard Lapeyre, Ecole Nationale des Ponts et Chaussees, Marne-la-Vallee, France, Etienne Pardoux, Universite de Provence, Marseille, France, and Remi Sentis, Commissariat a l'Energie Atomique Bruyeres-le-Chatel, France Alan Craig, Department of Mathematics, University of Durham, and Fionn Craig
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1: Monte-Carlo methods and Integration
2: Transport equations and processes
3: The Monte-Carlo method for the transport equations
4: The Monte-Carlo method for the Boltzmann equation
5: The Monte-Carlo method for diffusion equations
Bibliography
Index
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