| 书目名称 | Stochastic Simulation and Monte Carlo Methods | | 副标题 | Mathematical Foundat | | 编辑 | Carl Graham,Denis Talay | | 视频video | http://file.papertrans.cn/879/878159/878159.mp4 | | 概述 | Combines advanced mathematical tools and theoretical analysis of stochastic numerical methods at a high level.Provides methods to reach optimal results on the accuracy of Monte Carlo simulations of st | | 丛书名称 | Stochastic Modelling and Applied Probability | | 图书封面 |  | | 描述 | .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 dif | | 出版日期 | Textbook 2013 | | 关键词 | 60H10, 65U05, 65C05, 60J30, 60E7, 65R20; Markov processes; Monte Carlo methods; Stochastic calculus; Sto | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-39363-1 | | isbn_softcover | 978-3-642-43840-0 | | isbn_ebook | 978-3-642-39363-1Series ISSN 0172-4568 Series E-ISSN 2197-439X | | issn_series | 0172-4568 | | copyright | Springer-Verlag Berlin Heidelberg 2013 |
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