Monte-Carlo methods and stochastic processes. From linear to non-linear

zbMATH Open1316.60001MaRDI QIDQ2855397FDOQ2855397

Authors: Emmanuel Gobet 

Publication date: 25 October 2013

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zbMATH Keywords

stochastic processesBrownian motionMonte Carlo methodsstochastic controlstochastic differential equationsacceleration of convergenceMcKean-Vlasov equationsFeynman-Kac formulaebranching diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Foundations of stochastic processes (60G05)

Cited In (2)

• Stochastic simulation and Monte-Carlo methods.
• Numerical computation for backward doubly SDEs with random terminal time

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