Introduction to Monte Carlo Methods for Transport and Diffusion - Equation

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.

List of contents

• 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

Summary

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 real-life scenarios.

Product details

• Authors: Bernard Lapeyre, Bernard (Ecole Nationale Des Ponts Et Cha Lapeyre, Bernard Pardoux Lapeyre, Lapeyre Bernard, Etienne Pardoux, Pardoux Etienne, Remi Sentis, Sentis Remi
• Assisted by: Alan Craig (Translation), Fionn Craig (Translation), Craig Alan (Translation), Craig Fionn (Translation)
• Publisher: Oxford University Press
• Languages: English
• Product format: Paperback / Softback
• Released: 24.07.2003
• EAN: 9780198525936
• ISBN: 978-0-19-852593-6
• No. of pages: 174
• Series: Oxford Texts in Applied and Engineering Mathematics; Mathematics; Oxford Texts in Applied and Engineering Mathematics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics; MATHEMATICS / Probability & Statistics / General, MATHEMATICS / Applied, MATHEMATICS / Mathematical Analysis, Probability & statistics, Calculus & mathematical analysis, Maths for scientists, Maths for engineers, Probability and statistics, Calculus and mathematical analysis