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Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
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Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear Paperback - 2020

by Emmanuel Gobet

From the publisher

Developed from the author's course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear focuses on the simulation of stochastic processes in continuous time and their link with partial differential equations (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-Carlo method.





The book begins with a history of Monte-Carlo methods and an overview of three typical Monte-Carlo problems: numerical integration and computation of expectation, simulation of complex distributions, and stochastic optimization. The remainder of the text is organized in three parts of progressive difficulty. The first part presents basic tools for stochastic simulation and analysis of algorithm convergence. The second part describes Monte-Carlo methods for the simulation of stochastic differential equations. The final part discusses the simulation of non-linear dynamics.

Details

  • Title Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
  • Author Emmanuel Gobet
  • Binding Paperback
  • Pages 336
  • Volumes 1
  • Language ENG
  • Publisher CRC Press
  • Date 2020-09-30
  • ISBN 9780367658465 / 0367658461
  • Weight 1.04 lbs (0.47 kg)
  • Dimensions 9.21 x 6.14 x 0.7 in (23.39 x 15.60 x 1.78 cm)

About the author

Emmanuel Gobet is a professor of applied mathematics at Ecole Polytechnique. His research interests include algorithms of probabilistic type and stochastic approximations, financial mathematics, Malliavin calculus and stochastic analysis, Monte Carlo simulations, statistics for stochastic processes, and statistical learning.

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

by Emmanuel Gobet

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Paperback / softback. New. <p>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</p>
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Monte-carlo Methods and Stochastic Processes: From Linear to Non-linear
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Monte-carlo Methods and Stochastic Processes: From Linear to Non-linear

by Gobet, Emmanuel

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

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

by Emmanuel Gobet

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New. New Book; Fast Shipping from UK; Not signed; Not First Edition; 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 tex
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Monte-carlo Methods and Stochastic Processes: From Linear to Non-linear
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Monte-carlo Methods and Stochastic Processes: From Linear to Non-linear

by Gobet, Emmanuel

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ISBN 10 / ISBN 13
9780367658465 / 0367658461
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Chapman & Hall, 2020. Paperback. New. 309 pages. 8.75x6.00x0.75 inches.
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Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
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Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear

by Gobet, Emmanuel

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ISBN 10 / ISBN 13
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