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OverviewThis 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. Full Product DetailsAuthor: Nawaf Bou-Rabee , Eric Vanden-EijndenPublisher: American Mathematical Society Imprint: American Mathematical Society Weight: 0.205kg ISBN: 9781470431815ISBN 10: 1470431815 Pages: 124 Publication Date: 30 January 2019 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: In Print  This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of ContentsReviewsAuthor InformationNawaf Bou-Rabee, Rutgers University Camden, NJ. Eric Vanden-Eijnden, Courant Institute of Mathematical Sciences, New York University, NY. Tab Content 6Author Website:Countries AvailableAll regions |
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