Introduction to Monte-Carlo Methods for Transport and Diffusion Equations (Paperback)

Author: Remi Sentis

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Product Overview

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.

Specifications

Publisher Oxford University Press, USA
Mfg Part# 9780198525936
SKU 33943377
Format Paperback
ISBN10 0198525931
Release Date 4/10/2007
From the Publisher
Editors Note 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.
Product Attributes
Book Format Paperback
Number of Pages 0176
Publisher Oxford University Press, USA
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