Numerical Integration of Stochastic Differential Equations (Hardcover, 1995 ed.)

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.

General

Imprint:	Springer
Country of origin:	Netherlands
Series:	Mathematics and Its Applications, 313
Release date:	November 1994
First published:	1995
Authors:	G.N. Milstein
Dimensions:	234 x 156 x 12mm (L x W x T)
Format:	Hardcover
Pages:	172
Edition:	1995 ed.
ISBN-13:	978-0-7923-3213-8
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Number theory > General Promotions
LSN:	0-7923-3213-X
Barcode:	9780792332138

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