5. Monte Carlo Solutions of Differential Equations

  1. James R. Thompson

Published Online: 29 NOV 2011

DOI: 10.1002/9781118109656.ch5

Empirical Model Building: Data, Models, and Reality, Second Edition

Empirical Model Building: Data, Models, and Reality, Second Edition

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

  1. Published Online: 29 NOV 2011
  2. Published Print: 24 OCT 2011

ISBN Information

Print ISBN: 9780470467039

Online ISBN: 9781118109656

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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