Articles liés à Numerical Integration of Stochastic Differential Equations
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.
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Numerical Integration of Stochastic Differential Equations
Edité par
Springer Netherlands, 2010
ISBN 10 : 9048144876
ISBN 13 : 9789048144877
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Introduction. 1: Mean-square approximation of solutions of systems of stochastic differential equations. 1. Theorem on the order of convergence (theorem on the relation between approximation on a finite interval and one-step approximation). 2. Methods . N° de réf. du vendeur 5818349
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Numerical Integration of Stochastic Differential Equations (Mathematics and Its Applications)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Etat : New. In. N° de réf. du vendeur ria9789048144877_new
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Numerical Integration of Stochastic Differential Equations
Edité par
Springer Netherlands, Springer Netherlands Dez 2010, 2010
ISBN 10 : 9048144876
ISBN 13 : 9789048144877
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -U sing stochastic differential equations we can successfully model systems that func tion in the presence of random perturbations. Such systems are among the basic objects of modern control theory. However, the very importance acquired by stochas tic differential equations lies, to a large extent, in the strong connections they have with the equations of mathematical physics. It is well known that problems in math ematical physics involve 'damned dimensions', of ten leading to severe difficulties in solving boundary value problems. A way out is provided by stochastic equations, the solutions of which of ten come about as characteristics. In its simplest form, the method of characteristics is as follows. Consider a system of n ordinary differential equations dX = a(X) dt. (O.l ) Let Xx(t) be the solution of this system satisfying the initial condition Xx(O) = x. For an arbitrary continuously differentiable function u(x) we then have: (0.2) u(Xx(t)) - u(x) = j (a(Xx(t)), ~~ (Xx(t))) dt.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 184 pp. Englisch. N° de réf. du vendeur 9789048144877
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Numerical Integration of Stochastic Differential Equations
Edité par
Springer Netherlands Dez 2010, 2010
ISBN 10 : 9048144876
ISBN 13 : 9789048144877
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -U sing stochastic differential equations we can successfully model systems that func tion in the presence of random perturbations. Such systems are among the basic objects of modern control theory. However, the very importance acquired by stochas tic differential equations lies, to a large extent, in the strong connections they have with the equations of mathematical physics. It is well known that problems in math ematical physics involve 'damned dimensions', of ten leading to severe difficulties in solving boundary value problems. A way out is provided by stochastic equations, the solutions of which of ten come about as characteristics. In its simplest form, the method of characteristics is as follows. Consider a system of n ordinary differential equations dX = a(X) dt. (O.l ) Let Xx(t) be the solution of this system satisfying the initial condition Xx(O) = x. For an arbitrary continuously differentiable function u(x) we then have: (0.2) u(Xx(t)) - u(x) = j (a(Xx(t)), ~~ (Xx(t))) dt. 184 pp. Englisch. N° de réf. du vendeur 9789048144877
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Numerical Integration of Stochastic Differential Equations
Edité par
Springer Netherlands, Springer Netherlands, 2010
ISBN 10 : 9048144876
ISBN 13 : 9789048144877
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - U sing stochastic differential equations we can successfully model systems that func tion in the presence of random perturbations. Such systems are among the basic objects of modern control theory. However, the very importance acquired by stochas tic differential equations lies, to a large extent, in the strong connections they have with the equations of mathematical physics. It is well known that problems in math ematical physics involve 'damned dimensions', of ten leading to severe difficulties in solving boundary value problems. A way out is provided by stochastic equations, the solutions of which of ten come about as characteristics. In its simplest form, the method of characteristics is as follows. Consider a system of n ordinary differential equations dX = a(X) dt. (O.l ) Let Xx(t) be the solution of this system satisfying the initial condition Xx(O) = x. For an arbitrary continuously differentiable function u(x) we then have: (0.2) u(Xx(t)) - u(x) = j (a(Xx(t)), ~~ (Xx(t))) dt. N° de réf. du vendeur 9789048144877
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Numerical Integration of Stochastic Differential Equations
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Etat : New. pp. 182. N° de réf. du vendeur 263099702
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Numerical Integration of Stochastic Differential Equations (Mathematics and Its Applications)
Vendeur : Lucky's Textbooks, Dallas, TX, Etats-Unis
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Etat : New. N° de réf. du vendeur ABLIING23Apr0316110336051
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Numerical Integration of Stochastic Differential Equations
impression à la demandeVendeur : Majestic Books, Hounslow, Royaume-Uni
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Etat : New. Print on Demand pp. 182 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. N° de réf. du vendeur 5829609
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Numerical Integration of Stochastic Differential Equations (Mathematics and Its Applications)
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Paperback. Etat : Brand New. 184 pages. 9.25x6.10x0.41 inches. In Stock. N° de réf. du vendeur x-9048144876
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Numerical Integration of Stochastic Differential Equations
impression à la demandeVendeur : Biblios, Frankfurt am main, HESSE, Allemagne
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Etat : New. PRINT ON DEMAND pp. 182. N° de réf. du vendeur 183099708
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