Introduction to Monte-Carlo Methods for Transport and Diffusion Equations

Bernard Lapeyre, Etienne Pardoux, Remi Sentis · ISBN 9780198525936
Introduction to Monte-Carlo Methods for Transport and Diffusion Equations | Zookal Textbooks | Zookal Textbooks
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Publisher Oxford University Press UK
Author(s) Bernard Lapeyre / Etienne Pardoux / Remi Sentis
Published 1st August 2003
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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 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.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. Other books in the series include: Jordan & Smith: Nonlinear Ordinary Differential Equations: An introduction to Dynamical Systems; Sobey: Introduction to Interactive Boundary Layer Theory; Scott: Nonlinear Science: Emergence
and Dynamics of Coherent Structures; Tayler: Mathematical Models in Applied Mechanics; Ram-Mohan: Finite Element and Boundary Element Applications in Quantum Mechanics; Elishakoff and Ren: Finite Element
Methods for Structures with Large Stochastic Variations.


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