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Focused on Monte-Carlo methods, this text serves graduate students across various fields, including mathematics and finance, who seek to apply these techniques to resolve complex equations like partial differential and transport equations. It features practical examples, especially in mathematical finance, while also addressing the limitations of the methods. The book provides a thorough exploration of specific techniques utilized in real-world applications, making it a valuable resource for those looking to deepen their understanding of these numerical methods.
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Introduction to Monte-Carlo Methods for Transport and Diffusion Equations, Bernard Lapeyre, Etienne Pardoux, Remi Sentis
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- 2003
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