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Numerical Integration of Stochastic Differential Equations by G.N. Milstein
Numerical Integration of Stochastic Differential Equations by G.N. Milstein
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Numerical Integration of Stochastic Differential Equations

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Description

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.
Release date Australia
December 3rd, 2010
Author
Audience
  • Professional & Vocational
Edition
Softcover reprint of hardcover 1st ed. 1995
Illustrations
VIII, 172 p.
Pages
172
Dimensions
155x235x9
ISBN-13
9789048144877
Product ID
8940833

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