Stochastic simulation and Monte Carlo methods: mathematical foundations of stochastic simulations
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
|
| Schriftenreihe: | Stochastic modelling and applied probability
68 |
| Schlagworte: | |
| Online-Zugang: | BTU01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | Literaturverz. S. 253 - 255 |
| Beschreibung: | 1 Online-Ressource (XVI, 260 S.) |
| ISBN: | 9783642393624 9783642393631 |
| DOI: | 10.1007/978-3-642-39363-1 |
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Datensatz im Suchindex
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|---|---|
| adam_text | STOCHASTIC SIMULATION AND MONTE CARLO METHODS
/ GRAHAM, CARL
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PART I:PRINCIPLES OF MONTE CARLO METHODS
1.INTRODUCTION
2.STRONG LAW OF LARGE NUMBERS AND MONTE CARLO METHODS
3.NON ASYMPTOTIC ERROR ESTIMATES FOR MONTE CARLO METHODS
PART II:EXACT AND APPROXIMATE SIMULATION OF MARKOV PROCESSES
4.POISSON PROCESSES
5.DISCRETE-SPACE MARKOV PROCESSES
6.CONTINUOUS-SPACE MARKOV PROCESSES WITH JUMPS
7.DISCRETIZATION OF STOCHASTIC DIFFERENTIAL EQUATIONS
PART III:VARIANCE REDUCTION, GIRSANOV’S THEOREM, AND STOCHASTIC
ALGORITHMS
8.VARIANCE REDUCTION AND STOCHASTIC DIFFERENTIAL EQUATIONS
9.STOCHASTIC ALGORITHMS
REFERENCES
INDEX
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
STOCHASTIC SIMULATION AND MONTE CARLO METHODS
/ GRAHAM, CARL
: 2013
ABSTRACT / INHALTSTEXT
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.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| spelling | Graham, Carl Verfasser aut Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations Carl Graham ; Denis Talay Berlin [u.a.] Springer 2013 1 Online-Ressource (XVI, 260 S.) txt rdacontent c rdamedia cr rdacarrier Stochastic modelling and applied probability 68 Literaturverz. S. 253 - 255 Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 s DE-604 Talay, Denis Verfasser (DE-588)114468907 aut Stochastic modelling and applied probability 68 (DE-604)BV035421331 68 https://doi.org/10.1007/978-3-642-39363-1 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026252869&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026252869&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Graham, Carl Talay, Denis Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations Stochastic modelling and applied probability Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| subject_GND | (DE-588)4240945-7 |
| title | Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations |
| title_auth | Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations |
| title_exact_search | Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations |
| title_full | Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations Carl Graham ; Denis Talay |
| title_fullStr | Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations Carl Graham ; Denis Talay |
| title_full_unstemmed | Stochastic simulation and Monte Carlo methods mathematical foundations of stochastic simulations Carl Graham ; Denis Talay |
| title_short | Stochastic simulation and Monte Carlo methods |
| title_sort | stochastic simulation and monte carlo methods mathematical foundations of stochastic simulations |
| title_sub | mathematical foundations of stochastic simulations |
| topic | Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| topic_facet | Monte-Carlo-Simulation |
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