Introduction to Monte-Carlo Methods for Transport and Diffusion Equations

Paperback | February 19, 2004

byBernard Lapeyre, Etienne Pardoux, Remi Sentis

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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 ofpartial 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 foreach 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 thegraduate level. Other books in the series include: Jordan and 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.

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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 ofpartial differential equations, transport equ...

Bernard Lapeyre is at Ecole Nationale des Ponts et Chaussees, Marne-la-Vallee, France. Etienne Pardoux is at Universite de Provence, Marseille, France. Remi Sentis is Commissariat a l'Energie Atomique Bruyeres-le-Chatel, France.

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Hardcover|Nov 30 2007

$122.39 online$132.90list price(save 7%)
Format:PaperbackDimensions:174 pages, 9.21 × 6.14 × 0.39 inPublished:February 19, 2004Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198525931

ISBN - 13:9780198525936

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Table of Contents

1. Monte-Carlo methods and Integration2. Transport equations and processes3. The Monte-Carlo method for the transport equations4. The Monte-Carlo method for the Boltzmann equation5. The Monte-Carlo method for diffusion equationsBibliographyIndex