文件名称：Stochastic Numerical Methods_ An Introduction for Students and Scientists
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更新时间：2022-03-16 12:46:41
数值方法
This book deals with numerical methods that use, in one way or another, concepts and ideas from probability theory and stochastic processes. This does not mean that their range of validity is limited to these fields, as there are many problems of a purely deterministic nature that can be tackled with these methods, among them, most noticeable, being the calculation of high-dimensional sums and integrals. The material covered in this book has grown out of a series of master courses taught by the authors in several universities and summer schools including, in particular, the Master in Physics of Complex Systems organized by IFISC (Instituto de F´ısica Interdisciplinar y Systemas Complejos). It is aimed, then, at postgraduate students of almost any scientific discipline and also at those senior scientists who, not being familiar with the specificities of the numerical methods explained here, would like to get acquainted with the basic stochastic algorithms because they need them for a particular application in their field of research. The methods split naturally in three big blocks: sampling by Monte Carlo (Chapters 2–5 and 10), generation of trajectories of stochastic differential equations (Chapters 6, 7, and 11), and numerical solutions to master equations (Chapters 8 and 9), although they are intertwined in many occasions and we have tried to highlight those connections whenever they appear. It has