5. Monte Carlo Solutions of Differential Equations
Published Online: 29 NOV 2011
DOI: 10.1002/9781118109656.ch5
Copyright © 2011 John Wiley & Sons, Inc. All rights reserved.
Book Title
Empirical Model Building: Data, Models, and Reality, Second Edition
Additional Information
How to Cite
Thompson, J. R. (2011) Monte Carlo Solutions of Differential Equations, in Empirical Model Building: Data, Models, and Reality, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118109656.ch5
Publication History
- Published Online: 29 NOV 2011
- Published Print: 24 OCT 2011
Book Series:
ISBN Information
Print ISBN: 9780470467039
Online ISBN: 9781118109656
- Summary
- Chapter
- References
Keywords:
- Monte Carlo solutions;
- gambler's ruin;
- differential equations;
- Fokker-Planck equation;
- Dirichlet problem
Summary
This chapter contains sections titled:
Introduction
Gambler's Ruin
Solution of Simple Differential Equations
Solution of the Fokker–Planck Equation
The Dirichlet Problem
Solution of General Elliptic Differential Equations
Conclusions