Monte-carlo methods and stochastic processes: from linear to non-linear
Auteur :
Gobet, Emmanuel
Éditeur :
Taylor & Francis Ltd
ISBN :
9780367658465
Date de publication :
30 sept. 2020
Dimensions :
23,4 x 15,6 cm
Poids :
485 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This text focuses on the simulation of stochastic processes in continuous time and their link with 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-Car