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Numerical Methods For Stochastic Processes
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Book Synopsis Numerical Methods for Stochastic Processes by : Nicolas Bouleau
Download or read book Numerical Methods for Stochastic Processes written by Nicolas Bouleau and published by John Wiley & Sons. This book was released on 1994-01-14 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Numerical Methods by : Raúl Toral
Download or read book Stochastic Numerical Methods written by Raúl Toral and published by John Wiley & Sons. This book was released on 2014-06-26 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book aims at being rather general and is addressed at students of natural sciences (Physics, Chemistry, Mathematics, Biology, etc.) and Engineering, but also social sciences (Economy, Sociology, etc.) where some of the techniques have been used recently to numerically simulate different agent-based models. Examples included in the book range from phase-transitions and critical phenomena, including details of data analysis (extraction of critical exponents, finite-size effects, etc.), to population dynamics, interfacial growth, chemical reactions, etc. Program listings are integrated in the discussion of numerical algorithms to facilitate their understanding. From the contents: Review of Probability Concepts Monte Carlo Integration Generation of Uniform and Non-uniform Random Numbers: Non-correlated Values Dynamical Methods Applications to Statistical Mechanics Introduction to Stochastic Processes Numerical Simulation of Ordinary and Partial Stochastic Differential Equations Introduction to Master Equations Numerical Simulations of Master Equations Hybrid Monte Carlo Generation of n-Dimensional Correlated Gaussian Variables Collective Algorithms for Spin Systems Histogram Extrapolation Multicanonical Simulations
Book Synopsis Numerical Methods for Stochastic Control Problems in Continuous Time by : Harold Kushner
Download or read book Numerical Methods for Stochastic Control Problems in Continuous Time written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
Book Synopsis Numerical Solution of Stochastic Differential Equations by : Peter E. Kloeden
Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Book Synopsis Numerical Methods for Stochastic Computations by : Dongbin Xiu
Download or read book Numerical Methods for Stochastic Computations written by Dongbin Xiu and published by Princeton University Press. This book was released on 2010-07-01 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation. Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations. The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations Ideal introduction for graduate courses or self-study Fast, efficient, and accurate numerical methods Polynomial approximation theory and probability theory included Basic gPC methods illustrated through examples
Book Synopsis Numerical Methods for Stochastic Partial Differential Equations with White Noise by : Zhongqiang Zhang
Download or read book Numerical Methods for Stochastic Partial Differential Equations with White Noise written by Zhongqiang Zhang and published by Springer. This book was released on 2017-09-01 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers numerical methods for stochastic partial differential equations with white noise using the framework of Wong-Zakai approximation. The book begins with some motivational and background material in the introductory chapters and is divided into three parts. Part I covers numerical stochastic ordinary differential equations. Here the authors start with numerical methods for SDEs with delay using the Wong-Zakai approximation and finite difference in time. Part II covers temporal white noise. Here the authors consider SPDEs as PDEs driven by white noise, where discretization of white noise (Brownian motion) leads to PDEs with smooth noise, which can then be treated by numerical methods for PDEs. In this part, recursive algorithms based on Wiener chaos expansion and stochastic collocation methods are presented for linear stochastic advection-diffusion-reaction equations. In addition, stochastic Euler equations are exploited as an application of stochastic collocation methods, where a numerical comparison with other integration methods in random space is made. Part III covers spatial white noise. Here the authors discuss numerical methods for nonlinear elliptic equations as well as other equations with additive noise. Numerical methods for SPDEs with multiplicative noise are also discussed using the Wiener chaos expansion method. In addition, some SPDEs driven by non-Gaussian white noise are discussed and some model reduction methods (based on Wick-Malliavin calculus) are presented for generalized polynomial chaos expansion methods. Powerful techniques are provided for solving stochastic partial differential equations. This book can be considered as self-contained. Necessary background knowledge is presented in the appendices. Basic knowledge of probability theory and stochastic calculus is presented in Appendix A. In Appendix B some semi-analytical methods for SPDEs are presented. In Appendix C an introduction to Gauss quadrature is provided. In Appendix D, all the conclusions which are needed for proofs are presented, and in Appendix E a method to compute the convergence rate empirically is included. In addition, the authors provide a thorough review of the topics, both theoretical and computational exercises in the book with practical discussion of the effectiveness of the methods. Supporting Matlab files are made available to help illustrate some of the concepts further. Bibliographic notes are included at the end of each chapter. This book serves as a reference for graduate students and researchers in the mathematical sciences who would like to understand state-of-the-art numerical methods for stochastic partial differential equations with white noise.
Book Synopsis Stochastic Processes for Physicists by : Kurt Jacobs
Download or read book Stochastic Processes for Physicists written by Kurt Jacobs and published by Cambridge University Press. This book was released on 2010-02-18 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes are an essential part of numerous branches of physics, as well as in biology, chemistry, and finance. This textbook provides a solid understanding of stochastic processes and stochastic calculus in physics, without the need for measure theory. In avoiding measure theory, this textbook gives readers the tools necessary to use stochastic methods in research with a minimum of mathematical background. Coverage of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian noise. The book concludes with a non-technical introduction to the concepts and jargon of measure-theoretic probability theory. With over 70 exercises, this textbook is an easily accessible introduction to stochastic processes and their applications, as well as methods for numerical simulation, for graduate students and researchers in physics.
Book Synopsis Monte-Carlo Methods and Stochastic Processes by : Emmanuel Gobet
Download or read book Monte-Carlo Methods and Stochastic Processes written by Emmanuel Gobet and published by CRC Press. This book was released on 2016-09-15 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations by : S. S. Artemiev
Download or read book Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations written by S. S. Artemiev and published by Walter de Gruyter. This book was released on 2011-02-11 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text deals with numerical analysis of systems of both ordinary and stochastic differential equations. It covers numerical solution problems of the Cauchy problem for stiff ordinary differential equations (ODE) systems by Rosenbrock-type methods (RTMs).
Book Synopsis Stochastic Simulation and Monte Carlo Methods by : Carl Graham
Download or read book Stochastic Simulation and Monte Carlo Methods written by Carl Graham and published by Springer Science & Business Media. This book was released on 2013-07-16 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Itô 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.
Book Synopsis Stochastic Processes and Applications by : Grigorios A. Pavliotis
Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Book Synopsis Stochastic Dynamical Systems by : Josef Honerkamp
Download or read book Stochastic Dynamical Systems written by Josef Honerkamp and published by John Wiley & Sons. This book was released on 1996-12-17 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique volume introduces the reader to the mathematical language for complex systems and is ideal for students who are starting out in the study of stochastical dynamical systems. Unlike other books in the field it covers a broad array of stochastic and statistical methods.
Book Synopsis Stochastic Numerics for the Boltzmann Equation by : Sergej Rjasanow
Download or read book Stochastic Numerics for the Boltzmann Equation written by Sergej Rjasanow and published by Springer Science & Business Media. This book was released on 2005-11-04 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic numerical methods play an important role in large scale computations in the applied sciences. The first goal of this book is to give a mathematical description of classical direct simulation Monte Carlo (DSMC) procedures for rarefied gases, using the theory of Markov processes as a unifying framework. The second goal is a systematic treatment of an extension of DSMC, called stochastic weighted particle method. This method includes several new features, which are introduced for the purpose of variance reduction (rare event simulation). Rigorous convergence results as well as detailed numerical studies are presented.
Book Synopsis Numerical Analysis of Stochastic Processes by : Wolf-Jürgen Beyn
Download or read book Numerical Analysis of Stochastic Processes written by Wolf-Jürgen Beyn and published by de Gruyter. This book was released on 2016-10-15 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook introduces into the art of analysing, approximating and solving stochastic differential equations. Random number generation and monte carlo methods as well as convergence theorems and discretisation effects are discussed. Apart from mathematical problems, these equations occur in physical, engineering and economic models e.g. due to a lack of knowledge of the underlying, complex systems.
Book Synopsis Numerical Solution of SDE Through Computer Experiments by : Peter Eris Kloeden
Download or read book Numerical Solution of SDE Through Computer Experiments written by Peter Eris Kloeden and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
Book Synopsis Numerical Methods for Stochastic Control Problems in Continuous Time by : Harold Kushner
Download or read book Numerical Methods for Stochastic Control Problems in Continuous Time written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.
Book Synopsis An Introduction to Computational Stochastic PDEs by : Gabriel J. Lord
Download or read book An Introduction to Computational Stochastic PDEs written by Gabriel J. Lord and published by Cambridge University Press. This book was released on 2014-08-11 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a comprehensive introduction to numerical methods and analysis of stochastic processes, random fields and stochastic differential equations, and offers graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. Coverage includes traditional stochastic ODEs with white noise forcing, strong and weak approximation, and the multi-level Monte Carlo method. Later chapters apply the theory of random fields to the numerical solution of elliptic PDEs with correlated random data, discuss the Monte Carlo method, and introduce stochastic Galerkin finite-element methods. Finally, stochastic parabolic PDEs are developed. Assuming little previous exposure to probability and statistics, theory is developed in tandem with state-of-the-art computational methods through worked examples, exercises, theorems and proofs. The set of MATLAB® codes included (and downloadable) allows readers to perform computations themselves and solve the test problems discussed. Practical examples are drawn from finance, mathematical biology, neuroscience, fluid flow modelling and materials science.
