Introduction to Stochastic Calculus and to the Resolution of PDEs Using Monte Carlo Simulations

DOI10.1007/978-3-319-02839-2_3zbMath1304.60062OpenAlexW2116538033MaRDI QIDQ5497094

Emmanuel Gobet

Publication date: 3 February 2015

Published in: Advances in Numerical Simulation in Physics and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02839-2_3

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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