New challenges for the simulation of stochastic processes

MaRDI QIDQ4453503zbMATH OpenFDO

Authors Denis Talay

Publication date 7 March 2004

zbMATH Keywords

financial portfolioheat equationlinear and nonlinear partial differential equationsMcKean-Vlasov equationMonte Carlo methodsprobabilistic numerical methodsstochastic particle methods

Mathematics Subject Classification ID

Heat equation (35K05) Other nonlinear integral equations (45G10) Integro-partial differential equations (45K05) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Numerical methods (including Monte Carlo methods) (91G60)

Cited in

(1)

• Incorporating Computational Challenges into a Multidisciplinary Course on Stochastic Processes

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