Numerical Integration of Stochastic Differential Equations - Couverture souple

Milstein, G.N.

Couverture souple

ISBN 10 : 9048144876 ISBN 13 : 9789048144877

Editeur : Springer, 2010

Synopsis

This book is devoted to mean-square and weak approximations of solutions of stochastic differential equations (Sde). These approximations represent two fundamental aspects in the contemporary theory of Sde. Firstly, the construction of numerical methods for such systems is important as the solutions provided serve as characteristics for a number of mathematical physics problems. Secondly, the employment of probability representations together with a Monte Carlo method allows us to reduce the solution of complex multidimensional problems of mathematical physics to the integration of stochastic equations.
Along with a general theory of numerical integrations of such systems, both in the mean-square and the weak sense, a number of concrete and sufficiently constructive numerical schemes are considered. Various applications and particularly the approximate calculation of Wiener integrals are also dealt with.
This book is of interest to graduate students in the mathematical, physical and engineering sciences, and to specialists whose work involves differential equations, mathematical physics, numerical mathematics, the theory of random processes, estimation and control theory.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2010
• Langue: anglais
• ISBN 10: 9048144876
• ISBN 13: 9789048144877
• Reliure: Broché
• Numéro d'édition: 1
• Nombre de pages: 184
• Coordonnées du fabricant: non disponible
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