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Hardcover ISBN:  9780821819944 
Product Code:  FIC/34 
List Price:  $68.00 
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AMS Member Price:  $54.40 
eBook ISBN:  9781470430689 
Product Code:  FIC/34.E 
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AMS Member Price:  $50.40 
Hardcover ISBN:  9780821819944 
eBook ISBN:  9781470430689 
Product Code:  FIC/34.B 
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Book DetailsFields Institute CommunicationsVolume: 34; 2002; 121 ppMSC: Primary 60; Secondary 65
This volume represents the proceedings of the Workshop on Numerical Methods and Stochastics held at The Fields Institute in April 1999. The goal of the workshop was to identify emerging ideas in probability theory that influence future work in both probability and numerical computation. The book focuses on new results and gives novel approaches to computational problems based on the latest techniques from the theory of probability and stochastic processes.
Three papers discuss particle system approximations to solutions of the stochastic filtering problem. Two papers treat particle system equations. The paper on “rough paths” describes how to generate good approximations to stochastic integrals. An expository paper discusses a longstanding conjecture: the stochastic fast dynamo effect. A final paper gives an analysis of the error in binomial and trinomial approximations to solutions of the BlackScholes stochastic differential equations.
The book is intended for graduate students and research mathematicians interested in probability theory.
Titles in this series are copublished with the Fields Institute for Research in Mathematical Sciences (Toronto, Ontario, Canada).
ReadershipGraduate students and advanced research mathematicians interested in probability theory.

Table of Contents

Chapters

Dan Crisan — Numerical methods for solving the stochastic filtering problem

D. Crisan and T. Lyons — Optimal filtering on discrete sets

Pierre Del Moral and Jean Jacod — The MonteCarlo method for filtering with discretetime observations: Central limit theorems

A. Guionnet — Approximations of Markovian non linear partial differential equations by particle systems

A. Guionnet — NonMarkovian limit diffusions and spin glasses

Subhendu Hazra and Frederi Viens — Towards pathwise stochastic fast dynamo in magnetohydrodynamics

T. Lyons — System control and rough paths

John Walsh and Owen Walsh — Embedding and the convergence of the binomial and trinomial tree schemes


Reviews

Eight studies explore novel approaches to computational problems using recent technology from the theory of probability and stochastic processes. Rather than emphasizing a single set of techniques, they describe both particle systems approaches and stochastic analysis.
Book News, Inc.


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This volume represents the proceedings of the Workshop on Numerical Methods and Stochastics held at The Fields Institute in April 1999. The goal of the workshop was to identify emerging ideas in probability theory that influence future work in both probability and numerical computation. The book focuses on new results and gives novel approaches to computational problems based on the latest techniques from the theory of probability and stochastic processes.
Three papers discuss particle system approximations to solutions of the stochastic filtering problem. Two papers treat particle system equations. The paper on “rough paths” describes how to generate good approximations to stochastic integrals. An expository paper discusses a longstanding conjecture: the stochastic fast dynamo effect. A final paper gives an analysis of the error in binomial and trinomial approximations to solutions of the BlackScholes stochastic differential equations.
The book is intended for graduate students and research mathematicians interested in probability theory.
Titles in this series are copublished with the Fields Institute for Research in Mathematical Sciences (Toronto, Ontario, Canada).
Graduate students and advanced research mathematicians interested in probability theory.

Chapters

Dan Crisan — Numerical methods for solving the stochastic filtering problem

D. Crisan and T. Lyons — Optimal filtering on discrete sets

Pierre Del Moral and Jean Jacod — The MonteCarlo method for filtering with discretetime observations: Central limit theorems

A. Guionnet — Approximations of Markovian non linear partial differential equations by particle systems

A. Guionnet — NonMarkovian limit diffusions and spin glasses

Subhendu Hazra and Frederi Viens — Towards pathwise stochastic fast dynamo in magnetohydrodynamics

T. Lyons — System control and rough paths

John Walsh and Owen Walsh — Embedding and the convergence of the binomial and trinomial tree schemes

Eight studies explore novel approaches to computational problems using recent technology from the theory of probability and stochastic processes. Rather than emphasizing a single set of techniques, they describe both particle systems approaches and stochastic analysis.
Book News, Inc.