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Continuoustime Random Walks For The Numerical Solution Of Stochastic Differential Equations 1st Edition Nawaf Bourabee Eric Vandeneijnden

Name: Continuoustime Random Walks For The Numerical Solution Of Stochastic Differential Equations 1st Edition Nawaf Bourabee Eric Vandeneijnden
SKU: BELL-51644614
Price: 31.00 USD
Availability: InStock
Rating: 4.7 (16 reviews)

SKU: BELL-51644614

Continuoustime Random Walks For The Numerical Solution Of Stochastic Differential Equations 1st Edition Nawaf Bourabee Eric Vandeneijnden

$ 31.00 ~~$ 45.00~~ (-31%)

4.7

16 reviews

Continuoustime Random Walks For The Numerical Solution Of Stochastic Differential Equations 1st Edition Nawaf Bourabee Eric Vandeneijnden instant download after payment.

Publisher: American Mathematical Society

File Extension: PDF

File size: 3.19 MB

Pages: 136

Author: Nawaf Bou-Rabee; Eric Vanden-Eijnden

ISBN: 9781470449193, 1470449196

Language: English

Year: 2019

Edition: 1

Product desciption

Continuoustime Random Walks For The Numerical Solution Of Stochastic Differential Equations 1st Edition Nawaf Bourabee Eric Vandeneijnden by Nawaf Bou-rabee; Eric Vanden-eijnden 9781470449193, 1470449196 instant download after payment.

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.