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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulations - Couverture rigide
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- ÉditeurSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Date d'édition2013
- ISBN 10 3642393624
- ISBN 13 9783642393624
- ReliureRelié
- Nombre de pages260
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Stochastic Simulation and Monte Carlo Methods : Mathematical Foundations of Stochastic Simulation
Edité par
Springer Berlin Heidelberg
(2013)
ISBN 10 : 3642393624
ISBN 13 : 9783642393624
Neuf
Couverture rigide
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Description du livre Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners' aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations. N° de réf. du vendeur 9783642393624
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Stochastic Simulation and Monte Carlo Methods : Mathematical Foundations of Stochastic Simulations
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(2013)
ISBN 10 : 3642393624
ISBN 13 : 9783642393624
Neuf
Couverture rigide
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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation (Stochastic Modelling and Applied Probability) by Graham, Carl, Talay, Denis [Hardcover ]
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Description du livre Hardcover. Etat : new. N° de réf. du vendeur 9783642393624
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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation (Stochastic Modelling and Applied Probability, 68)
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Stochastic Simulation and Monte Carlo Methods : Mathematical Foundations of Stochastic Simulation
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Description du livre Etat : New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. N° de réf. du vendeur ria9783642393624_lsuk
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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation (Stochastic Modelling and Applied Probability, 68)
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Description du livre Etat : New. Buy with confidence! Book is in new, never-used condition. N° de réf. du vendeur bk3642393624xvz189zvxnew
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Stochastic Simulation and Monte Carlo Methods : Mathematical Foundations of Stochastic Simulations
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(2013)
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ISBN 13 : 9783642393624
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Description du livre Etat : New. N° de réf. du vendeur 20087607-n
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Stochastic Simulation and Monte Carlo Methods
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Springer Berlin Heidelberg Jul 2013
(2013)
ISBN 10 : 3642393624
ISBN 13 : 9783642393624
Neuf
Couverture rigide
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Description du livre Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners' aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations. 276 pp. Englisch. N° de réf. du vendeur 9783642393624
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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation (Stochastic Modelling and Applied Probability, 68)
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(2013)
ISBN 10 : 3642393624
ISBN 13 : 9783642393624
Neuf
Couverture rigide
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Description du livre Etat : New. New! This book is in the same immaculate condition as when it was published. N° de réf. du vendeur 353-3642393624-new
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Stochastic Simulation and Monte Carlo Methods
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Springer Berlin Heidelberg
(2013)
ISBN 10 : 3642393624
ISBN 13 : 9783642393624
Neuf
Couverture rigide
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Description du livre Etat : New. N° de réf. du vendeur 5059284
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