Monte Carlo method for linear and nonlinear boundary value problems: Foundation, algorithms, numerical solutions and applications - Softcover

Rasulov, Abdujabar; Raimova, Gulnora

 
9783845411835: Monte Carlo method for linear and nonlinear boundary value problems: Foundation, algorithms, numerical solutions and applications
Softcover
ISBN 10: 384541183X ISBN 13: 9783845411835
Verlag: LAP LAMBERT Academic Publishing, 2011

Inhaltsangabe

Availability of multiprocessor computers, allows us to solve many complex problems using Monte Carlo method. Monte Carlo methods have been further developed to solve a variety of multidimensional integrals, linear and nonlinear boundary value problems. In monograph we used the deep connections between differential equations and random processes. This connection has been known long ago, the results of the theory of differential equations have been widely used in the theory of probability and vice versa. The solutions of large class linear and nonlinear equations of elliptic and parabolic type may be represented in the form of integrals over the trajectories of Markov process. In the current work we study the approaches connected with simple and branching Markov processes. We obtained effective unbiased estimators for the solutions. Constructed numerical algorithms are strict proved and used for the solution of problems of mathematical physics. This book meant for specialists of numerical methods who applied Monte Carlo methods for the solution boundary value problems, calculating multidimensional integrals and work in the area financial mathematics and statistics.

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Über die Autorin bzw. den Autor

Professor, Field of study: Monte Carlo methods and asynchronous algorithms. Head of Department Mathematical Modeling and Informatics,University of World Economy and Diplomacy (UWED). Co-autor: Gulnora Raimova, Field of study: Monte Carlo methods. Associate professor of Department Mathematical Modeling and Informatics, UWED,Tashkent,Uzbekistan

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
384541183X
ISBN 13 
9783845411835
Einband
Taschenbuch
Anzahl der Seiten
268
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Presses Academiques Francophones
customerservice@vdm-vsg.de

Brivibas gatve 197
Riga
1039
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