Numerical Integration of Stochastic Differential Equations

Name: Numerical Integration of Stochastic Differential Equations
Brand: Springer Netherlands
SKU: 9780792332138
Price: 50603 HUF
Availability: InStock

Szerző: G. N. Milstein

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer Netherlands

Elérhetőség: Beszállítói készleten

Küldés 10-13 napon belül

50 603 Ft

This book is devoted to mean-square and weak approximations of solutions of stochastic differential...

Információk a könyvről

Szerző

G. N. Milstein

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

1994

oldal

172

EAN

9780792332138

ISBN

079233213X

Enbook ID

01394605

Kiadó

Springer Netherlands

Súly

440

Méretek

160 x 240 x 12

Teljes leírás

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

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