Numerical Methods For Stochastic Processes
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Numerical Methods for Stochastic Processes
Author | : Nicolas Bouleau,Dominique Lépingle |
Publsiher | : John Wiley & Sons |
Total Pages | : 402 |
Release | : 1994-01-14 |
Genre | : Mathematics |
ISBN | : 0471546410 |
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Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Markovian problems and special problems related to stochastic integral and differential equations. Simulation methods are given throughout the text as well as numerous exercises.
Numerical Methods for Stochastic Control Problems in Continuous Time
Author | : Harold Kushner,Paul G. Dupuis |
Publsiher | : Springer Science & Business Media |
Total Pages | : 480 |
Release | : 2013-11-27 |
Genre | : Mathematics |
ISBN | : 9781461300076 |
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Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
Numerical Solution of Stochastic Differential Equations
Author | : Peter E. Kloeden,Eckhard Platen |
Publsiher | : Springer Science & Business Media |
Total Pages | : 666 |
Release | : 2013-04-17 |
Genre | : Mathematics |
ISBN | : 9783662126165 |
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The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Stochastic Numerical Methods
Author | : Raúl Toral,Pere Colet |
Publsiher | : John Wiley & Sons |
Total Pages | : 518 |
Release | : 2014-06-26 |
Genre | : Science |
ISBN | : 9783527683123 |
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Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book aims at being rather general and is addressed at students of natural sciences (Physics, Chemistry, Mathematics, Biology, etc.) and Engineering, but also social sciences (Economy, Sociology, etc.) where some of the techniques have been used recently to numerically simulate different agent-based models. Examples included in the book range from phase-transitions and critical phenomena, including details of data analysis (extraction of critical exponents, finite-size effects, etc.), to population dynamics, interfacial growth, chemical reactions, etc. Program listings are integrated in the discussion of numerical algorithms to facilitate their understanding. From the contents: Review of Probability Concepts Monte Carlo Integration Generation of Uniform and Non-uniform Random Numbers: Non-correlated Values Dynamical Methods Applications to Statistical Mechanics Introduction to Stochastic Processes Numerical Simulation of Ordinary and Partial Stochastic Differential Equations Introduction to Master Equations Numerical Simulations of Master Equations Hybrid Monte Carlo Generation of n-Dimensional Correlated Gaussian Variables Collective Algorithms for Spin Systems Histogram Extrapolation Multicanonical Simulations
Numerical Analysis of Stochastic Processes
Author | : Wolf-Jürgen Beyn,Raphael Kruse |
Publsiher | : de Gruyter |
Total Pages | : 312 |
Release | : 2016-10-15 |
Genre | : Electronic Book |
ISBN | : 3110443376 |
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This textbook introduces into the art of analysing, approximating and solving stochastic differential equations. Random number generation and monte carlo methods as well as convergence theorems and discretisation effects are discussed. Apart from mathematical problems, these equations occur in physical, engineering and economic models e.g. due to a lack of knowledge of the underlying, complex systems.
Numerical Methods for Stochastic Control Problems in Continuous Time
Author | : Harold Kushner,Paul G. Dupuis |
Publsiher | : Springer Science & Business Media |
Total Pages | : 436 |
Release | : 2012-12-06 |
Genre | : Science |
ISBN | : 9781468404418 |
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This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.
Numerical Methods for Stochastic Computations
Author | : Dongbin Xiu |
Publsiher | : Princeton University Press |
Total Pages | : 142 |
Release | : 2010-07-01 |
Genre | : Mathematics |
ISBN | : 9781400835348 |
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The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation. Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations. The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations Ideal introduction for graduate courses or self-study Fast, efficient, and accurate numerical methods Polynomial approximation theory and probability theory included Basic gPC methods illustrated through examples
Stochastic Processes for Physicists
Author | : Kurt Jacobs |
Publsiher | : Cambridge University Press |
Total Pages | : 203 |
Release | : 2010-02-18 |
Genre | : Science |
ISBN | : 9781139486798 |
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Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.