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Introduction To Monte-Carlo Methods For Transport And Diffusion Equations

Introduction To Monte-Carlo Methods For Transport And Diffusion Equations

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  • ISBN:9780198525936
  • Editorial: Oxford University Press
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:163
  • Idiomas:Ingles,Inglés

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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 who 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. This is the sixth volume in the "Oxford Texts in Applied and Engineering Mathematics" series, which includes texts based on taught courses that explain the mathematical or computational techniques required for the resolution of fundamental applied problems, from the undergraduate through to the graduate level.

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