Developed from the author’s path on the Ecole Polytechnique, Monte-Carlo tools and Stochastic strategies: From Linear to Non-Linear makes a speciality of the simulation of stochastic approaches in non-stop time and their hyperlink with partial differential equations (PDEs). It covers linear and nonlinear difficulties in biology, finance, geophysics, mechanics, chemistry, and different program components. The textual content additionally completely develops the matter of numerical integration and computation of expectation via the Monte-Carlo method.
The publication starts with a heritage of Monte-Carlo tools and an outline of 3 normal Monte-Carlo difficulties: numerical integration and computation of expectation, simulation of advanced distributions, and stochastic optimization. the rest of the textual content is equipped in 3 elements of innovative trouble. the 1st half offers simple instruments for stochastic simulation and research of set of rules convergence. the second one half describes Monte-Carlo equipment for the simulation of stochastic differential equations. the ultimate half discusses the simulation of non-linear dynamics.
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