Close
Enter your search into one or more of the boxes below:
You can refine your search by selecting from any of the options below:
Search
Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation

Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation (Paperback)

£44.99
Printed to order. Despatched in 2-3 weeks.
Email me when back in stock

Synopsis

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 Ito 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.

BusinessFinance & accountingScience & MathematicsMathematicsCalculus & mathematical analysisNumerical analysisScience & MathematicsMathematicsProbability & statistics Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Publication Date: 14/04/2014 ISBN-13: 9783642438400  Details: Type: Paperback Format: Books
Availability: Printed to order. Despatched in 2-3 weeks.  

Carl Graham is a CNRS researcher and Professeur charge de cours (part-time associate professor) at the Ecole Polytechnique and associate editor for Annals of Applied Probability. His main fields of research include stochastic processes, stochastic modelling and communication networks. Denis Talay is a senior researcher at Inria. He holds a part time research position at Ecole Polytechnique where he had taught for 13 years. He is, or has been, an associate editor for many top journals in probability, numerical analysis, financial mathematics and scientific computing. He was the president of the French Applied Math. Society SMAI (2006-2009) and is now the Chair of its Scientific Council. His main fields of interest are stochastic modelling, numerical probability, stochastic analysis of partial differential equations and financial mathematics.

More books by Carl Graham

More books by Denis Talay

Leave Review

Delivery

Delivery Options

All delivery times quoted are the average, and cannot be guaranteed. These should be added to the availability message time, to determine when the goods will arrive. During checkout we will give you a cumulative estimated date for delivery.

Location 1st Book Each additional book Average Delivery Time
UK Standard Delivery FREE FREE 3-5 Days
UK First Class £4.50 £1.00 1-2 Days
UK Courier £7.00 £1.00 1-2 Days
Western Europe** Courier £17.00 £3.00 2-3 Days
Western Europe** Airmail £5.00 £1.50 4-14 Days
USA / Canada Courier £20.00 £3.00 2-4 Days
USA / Canada Airmail £7.00 £3.00 4-14 Days
Rest of World Courier £22.50 £3.00 3-6 Days
Rest of World Airmail £8.00 £3.00 7-21 Days

** Includes Austria, Belgium, Denmark, France, Germany, Greece, Iceland, Irish Republic, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden and Switzerland.

Delivery Help & FAQs

Returns Information

If you are not completely satisfied with your purchase*, you may return it to us in its original condition with in 30 days of receiving your delivery or collection notification email for a refund. Except for damaged items or delivery issues the cost of return postage is borne by the buyer. Your statutory rights are not affected.

* For Exclusions and terms on damaged or delivery issues see Returns Help & FAQs

You might also like

Numerical Linear Algebra: An...
(Paperback)
Holger Wendland
 
 
£34.99
 
Numerical Models for Differential...
(Hardback)
Alfio Quarteroni
 
 
£63.99
 
The Finite Element Method in Engineering
(Paperback)
Singiresu S. Rao
 
 
£69.99
 
Matrix Algebra: Theory, Computations...
(Paperback)
James E. Gentle
 
 
£63.99
 
Latest Blog
#FoylesFive: Swap Snowflakes for Stardust
17/11/2017

Swap snowflakes for stardust this Christmas with some recommends that are out of this world, from Jamie-Lee from our Birmingham branch.

Read an extract of The Book of the Year
15/11/2017

Behold The Book of the Year, by the “No Such Thing As A Fish” podcasters a.k.a the QI Elves. The book is a surreal, silly and wonderful compendium of irreverent and topical facts that show 2017 in a unique light.

Japan: the Perfect Setting for a Crime Novel
14/11/2017

Nicolas explains why Japan is the perfect backdrop to a crime novel.

View all Blog Entries
Twitter
Show/Hide Tweets
© W&G Foyle Ltd