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(Ebook) Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations by Nawaf Bou-Rabee; Eric Vanden-Eijnden ISBN 9781470449193, 1470449196

  • SKU: EBN-51644614
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4.4

30 reviews
Instant download (eBook) Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations after payment.
Authors:Nawaf Bou-Rabee; Eric Vanden-Eijnden
Pages:136 pages.
Year:2019
Editon:1
Publisher:American Mathematical Society
Language:english
File Size:3.19 MB
Format:pdf
ISBNS:9781470449193, 1470449196
Categories: Ebooks

Product desciption

(Ebook) Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations by Nawaf Bou-Rabee; Eric Vanden-Eijnden ISBN 9781470449193, 1470449196

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.
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