Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear

By Emmanuel Gobet

Book Overview

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

• Format: Paperback
• Language: English
• ISBN: 0367658461
• ISBN13: 9780367658465
• Release Date: September 2020
• Publisher: CRC Press
• Length: 336 Pages
• Weight: 1.04 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"