Monte-Carlo Methods and Stochastic Processes
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Monte-Carlo Methods and Stochastic Processes
Book Details:
• Author: Emmanuel Gobet
• Brand: CRC Press
• Edition: 1
• Binding: Hardcover
• Number of Pages: 309
• Release Date: 01-08-2016
• EAN: 9781498746229
• Package Dimensions: 9.3 x 6.1 x 0.9 inches
• Language: English
About the Book:
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear by Emmanuel Gobet is a comprehensive resource focused on the simulation of stochastic processes in continuous time and their connection to partial differential equations (PDEs). Developed from the author's course at the prestigious Ecole Polytechnique, this book delves deep into linear and nonlinear problems encountered in various fields such as biology, finance, geophysics, mechanics, and chemistry.
The text starts with a historical perspective on Monte-Carlo methods, followed by an in-depth examination of three core Monte-Carlo problems: numerical integration, computation of expectations, and stochastic optimization. Organized into three parts of increasing complexity, the book equips readers with essential tools for stochastic simulation and analysis of algorithm convergence.
The second part of the book focuses on Monte-Carlo methods for simulating stochastic differential equations, while the final section explores the simulation of non-linear dynamics. This work serves as a fundamental guide for both students and professionals interested in computational methods for stochastic processes, making it an invaluable resource for those working with complex systems in scientific and engineering applications.
