{"product_id":"monte-carlo-methods-and-stochastic-processes-from-linear-to-non-linear-paperback","title":"Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear - Paperback","description":"\u003cp\u003eby \u003cb\u003eEmmanuel Gobet\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eDeveloped from the author's course at the Ecole Polytechnique, \u003cstrong\u003e Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear\u003c\/strong\u003e 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eThe 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.\u003c\/p\u003e\u003ch3\u003eAuthor Biography\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eEmmanuel Gobet\u003c\/strong\u003e 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.\u003c\/p\u003e\u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 336\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.7 x 9.21 x 6.14 IN\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e September 30, 2020\u003c\/div\u003e","brand":"Books by splitShops","offers":[{"title":"Default Title","offer_id":42709418344511,"sku":"9780367658465","price":111.76,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0105\/8226\/1823\/files\/d282aee0eefd4f6552eb9738cb84f31d.webp?v=1765051353","url":"https:\/\/dhl-adrianne.myshopify.com\/products\/monte-carlo-methods-and-stochastic-processes-from-linear-to-non-linear-paperback","provider":"BBB","version":"1.0","type":"link"}