Monte Carlo Methods And Stochastic Processes
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Monte Carlo Methods And Stochastic Processes
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Author : Emmanuel Gobet
language : en
Publisher: CRC Press
Release Date : 2016-09-15
Monte Carlo Methods And Stochastic Processes written by Emmanuel Gobet and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-15 with Mathematics categories.
Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear 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. The 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.
Numerical Methods For Stochastic Processes
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Author : Nicolas Bouleau
language : en
Publisher: John Wiley & Sons
Release Date : 1994-01-14
Numerical Methods For Stochastic Processes written by Nicolas Bouleau and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-01-14 with Mathematics categories.
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.
Monte Carlo Methods And Models In Finance And Insurance
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Author : Ralf Korn
language : en
Publisher: CRC Press
Release Date : 2010-02-26
Monte Carlo Methods And Models In Finance And Insurance written by Ralf Korn and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-26 with Business & Economics categories.
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Explorations In Monte Carlo Methods
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Author : Ronald W. Shonkwiler
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-08-11
Explorations In Monte Carlo Methods written by Ronald W. Shonkwiler and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-11 with Mathematics categories.
Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics. The problem-oriented approach makes it ideal for an applied course in basic probability and for a more specialized course in Monte Carlo methods. Topics include probability distributions, counting combinatorial objects, simulated annealing, genetic algorithms, option pricing, gamblers ruin, statistical mechanics, sampling, and random number generation.
Monte Carlo Methods And Stochastic Processes
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Author : Emmanuel Gobet
language : en
Publisher: CRC Press
Release Date : 2016-09-15
Monte Carlo Methods And Stochastic Processes written by Emmanuel Gobet and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-15 with Mathematics categories.
Developed from the author’s course at the Ecole Polytechnique, Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear 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. The 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.
Monte Carlo Methods In Financial Engineering
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Author : Paul Glasserman
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Monte Carlo Methods In Financial Engineering written by Paul Glasserman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
Simulation And The Monte Carlo Method
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Author : Reuven Y. Rubinstein
language : en
Publisher: John Wiley & Sons
Release Date : 2016-10-21
Simulation And The Monte Carlo Method written by Reuven Y. Rubinstein and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-21 with Mathematics categories.
This accessible new edition explores the major topics in Monte Carlo simulation that have arisen over the past 30 years and presents a sound foundation for problem solving Simulation and the Monte Carlo Method, Third Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the state-of-the-art theory, methods and applications that have emerged in Monte Carlo simulation since the publication of the classic First Edition over more than a quarter of a century ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information that facilitates a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences. The book begins with a modernized introduction that addresses the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss the dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of many modern topics including: Markov Chain Monte Carlo, variance reduction techniques such as importance (re-)sampling, and the transform likelihood ratio method, the score function method for sensitivity analysis, the stochastic approximation method and the stochastic counter-part method for Monte Carlo optimization, the cross-entropy method for rare events estimation and combinatorial optimization, and application of Monte Carlo techniques for counting problems. An extensive range of exercises is provided at the end of each chapter, as well as a generous sampling of applied examples. The Third Edition features a new chapter on the highly versatile splitting method, with applications to rare-event estimation, counting, sampling, and optimization. A second new chapter introduces the stochastic enumeration method, which is a new fast sequential Monte Carlo method for tree search. In addition, the Third Edition features new material on: • Random number generation, including multiple-recursive generators and the Mersenne Twister • Simulation of Gaussian processes, Brownian motion, and diffusion processes • Multilevel Monte Carlo method • New enhancements of the cross-entropy (CE) method, including the “improved” CE method, which uses sampling from the zero-variance distribution to find the optimal importance sampling parameters • Over 100 algorithms in modern pseudo code with flow control • Over 25 new exercises Simulation and the Monte Carlo Method, Third Edition is an excellent text for upper-undergraduate and beginning graduate courses in stochastic simulation and Monte Carlo techniques. The book also serves as a valuable reference for professionals who would like to achieve a more formal understanding of the Monte Carlo method. Reuven Y. Rubinstein, DSc, was Professor Emeritus in the Faculty of Industrial Engineering and Management at Technion-Israel Institute of Technology. He served as a consultant at numerous large-scale organizations, such as IBM, Motorola, and NEC. The author of over 100 articles and six books, Dr. Rubinstein was also the inventor of the popular score-function method in simulation analysis and generic cross-entropy methods for combinatorial optimization and counting. Dirk P. Kroese, PhD, is a Professor of Mathematics and Statistics in the School of Mathematics and Physics of The University of Queensland, Australia. He has published over 100 articles and four books in a wide range of areas in applied probability and statistics, including Monte Carlo methods, cross-entropy, randomized algorithms, tele-traffic c theory, reliability, computational statistics, applied probability, and stochastic modeling.
Stochastic Processes In Polymeric Fluids
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Author : Hans C. Öttinger
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Processes In Polymeric Fluids written by Hans C. Öttinger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Technology & Engineering categories.
A SPECTER is haunting the scientific world-the specter of com puters. All the powers of traditional science have entered into a holy alliance to exorcise this specter: puristic theoreticians and tradition alistic experimentalists, editors and referees of prestigious journals, philosophers of science and mathematicians. Where is a pioneering computer simulation that has not been decried as unreliable by its opponents in power? The Computer Manifesto As a result of the enormous progress in computer technology made during the last few decades, computer simulations have become a very powerful and widely applicable tool in science and engineering. The main purpose of this . book is a comprehensive description of the background and possibilities for the application of computer simulation techniques in polymer fluid dynamics. Mod eling and understanding the flow behavior of polymeric liquids on the kinetic theory level is not merely a great intellectual challenge but rather a matter of immense practical importance, for example, in connection with plastics manu facture, processing of foods, and movement of biological fluids. The classical computer simulation technique for static problems in statis tical mechanics is the Monte Carlo method developed in the early 1950s. The name of this method underlines how unusual and strange the idea of using ran dom numbers in the exact sciences is at first glance. However, the Monte Carlo method is a rigorous and efficient means for evaluating moments and static spa tial correlation functions for given probability distributions.
Stochastic Processes
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Author : Pierre Del Moral
language : en
Publisher: CRC Press
Release Date : 2017-02-24
Stochastic Processes written by Pierre Del Moral and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-02-24 with Mathematics categories.
Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
Markov Chains
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Author : Pierre Bremaud
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Markov Chains written by Pierre Bremaud and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
In this book, the author begins with the elementary theory of Markov chains and very progressively brings the reader to the more advanced topics. He gives a useful review of probability that makes the book self-contained, and provides an appendix with detailed proofs of all the prerequisites from calculus, algebra, and number theory. A number of carefully chosen problems of varying difficulty are proposed at the close of each chapter, and the mathematics are slowly and carefully developed, in order to make self-study easier. The author treats the classic topics of Markov chain theory, both in discrete time and continuous time, as well as the connected topics such as finite Gibbs fields, nonhomogeneous Markov chains, discrete- time regenerative processes, Monte Carlo simulation, simulated annealing, and queuing theory. The result is an up-to-date textbook on stochastic processes. Students and researchers in operations research and electrical engineering, as well as in physics and biology, will find it very accessible and relevant.