By Bernard Lapeyre, Etienne Pardoux, Rémi Sentis
Le yet de ce livre est de donner une advent aux m?thodes de Monte-Carlo orient?e vers l. a. r?solution des ?quations aux d?riv?es partielles. Apr?s des rappels sur les options de simulation, de r?duction de variance et de suites ? discr?pance faible, les auteurs traitent en d?tail le cas des ?quations de delivery, de l'?quation de Boltzmann et des ?quations paraboliques de diffusion. Dans chaque cas ils introduisent les processus al?atoires associ?s et discutent les ideas d'impl?mentation. Des exemples issus notamment de los angeles neutronique et d'applications financi?res sont donn?s. Ce livre est destin? ? des ?tudiants de ma?trise et de D.E.A. ou ? des ?l?ves d'Ecole d'ing?nieurs ayant de bonnes connaissances en probabilit?s.
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Extra info for Methodes de Monte-Carlo pour les equations de transport et de diffusion
K 20 O. Alagoz et al. k aij = pi i = 1, . . , m. j=1 They derive the structural properties of the optimal policy under diﬀerent reward functions including multiplicative reward structure and a matchreward structure, in which if the patient and kidney types match the transplantation results in a reward of R, and if there is a mismatch then the transplantation results in a reward of r < R. , Ri (x) − Rj (x) is increasing in x, then the optimal partition is given by A∗i = [ai−1 , ai ), where ao = −∞, am = ∞, and P r(X ≤ ai ) = p1 + · · · + pi .
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E. E. Kreke, F. J. Schaefer. The eﬀect of coldischemia time on primary nonfunction, patient and graft survival in liver transplantation: a systematic review. Forthcoming in PLoS ONE.  X. Su and S. Zenios. Patient choice in kidney allocation: a sequential stochastic assignment model. Operations Research, 53(3):443–455, 2005. F. J. Osgood. MELD scores of liver transplant recipients according to size of waiting list: Impact of organ allocation and patient outcomes. Journal of American Medical Association, 291(15):1871–1874, 2004.
Methodes de Monte-Carlo pour les equations de transport et de diffusion by Bernard Lapeyre, Etienne Pardoux, Rémi Sentis