
Hardcover ISBN: | 978-0-8218-1994-4 |
Product Code: | FIC/34 |
List Price: | $68.00 |
MAA Member Price: | $61.20 |
AMS Member Price: | $54.40 |
eBook ISBN: | 978-1-4704-3068-9 |
Product Code: | FIC/34.E |
List Price: | $63.00 |
MAA Member Price: | $56.70 |
AMS Member Price: | $50.40 |
Hardcover ISBN: | 978-0-8218-1994-4 |
eBook: ISBN: | 978-1-4704-3068-9 |
Product Code: | FIC/34.B |
List Price: | $131.00 $99.50 |
MAA Member Price: | $117.90 $89.55 |
AMS Member Price: | $104.80 $79.60 |

Hardcover ISBN: | 978-0-8218-1994-4 |
Product Code: | FIC/34 |
List Price: | $68.00 |
MAA Member Price: | $61.20 |
AMS Member Price: | $54.40 |
eBook ISBN: | 978-1-4704-3068-9 |
Product Code: | FIC/34.E |
List Price: | $63.00 |
MAA Member Price: | $56.70 |
AMS Member Price: | $50.40 |
Hardcover ISBN: | 978-0-8218-1994-4 |
eBook ISBN: | 978-1-4704-3068-9 |
Product Code: | FIC/34.B |
List Price: | $131.00 $99.50 |
MAA Member Price: | $117.90 $89.55 |
AMS Member Price: | $104.80 $79.60 |
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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 long-standing conjecture: the stochastic fast dynamo effect. A final paper gives an analysis of the error in binomial and trinomial approximations to solutions of the Black-Scholes stochastic differential equations.
The book is intended for graduate students and research mathematicians interested in probability theory.
Titles in this series are co-published with the Fields Institute for Research in Mathematical Sciences (Toronto, Ontario, Canada).
ReadershipGraduate students and advanced research mathematicians interested in probability theory.
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Table of Contents
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Chapters
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Dan Crisan — Numerical methods for solving the stochastic filtering problem
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D. Crisan and T. Lyons — Optimal filtering on discrete sets
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Pierre Del Moral and Jean Jacod — The Monte-Carlo method for filtering with discrete-time observations: Central limit theorems
-
A. Guionnet — Approximations of Markovian non linear partial differential equations by particle systems
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A. Guionnet — Non-Markovian limit diffusions and spin glasses
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Subhendu Hazra and Frederi Viens — Towards pathwise stochastic fast dynamo in magneto-hydrodynamics
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T. Lyons — System control and rough paths
-
John Walsh and Owen Walsh — Embedding and the convergence of the binomial and trinomial tree schemes
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-
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.
-
-
RequestsReview Copy – for publishers of book reviewsAccessibility – to request an alternate format of an AMS title
- Book Details
- Table of Contents
- Reviews
- Requests
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 long-standing conjecture: the stochastic fast dynamo effect. A final paper gives an analysis of the error in binomial and trinomial approximations to solutions of the Black-Scholes stochastic differential equations.
The book is intended for graduate students and research mathematicians interested in probability theory.
Titles in this series are co-published 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 Monte-Carlo method for filtering with discrete-time observations: Central limit theorems
-
A. Guionnet — Approximations of Markovian non linear partial differential equations by particle systems
-
A. Guionnet — Non-Markovian limit diffusions and spin glasses
-
Subhendu Hazra and Frederi Viens — Towards pathwise stochastic fast dynamo in magneto-hydrodynamics
-
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.