Numerical Integration of Stochastic Differential Equations (Paperback, Softcover reprint of hardcover 1st ed. 1995)

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.

General

Imprint:	Springer
Country of origin:	Netherlands
Series:	Mathematics and Its Applications, 313
Release date:	December 2010
First published:	1995
Authors:	G.N. Milstein
Dimensions:	235 x 155 x 9mm (L x W x T)
Format:	Paperback
Pages:	172
Edition:	Softcover reprint of hardcover 1st ed. 1995
ISBN-13:	978-90-481-4487-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Computing & IT > General theory of computing > Mathematical theory of computation Books > Science & Mathematics > Mathematics > Applied mathematics > General Promotions
LSN:	90-481-4487-6
Barcode:	9789048144877

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