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Numerical Integration of Stochastic Differential Equations by G.N. Milstein (Paperback, 2010)

About this product

About this product

Product Information

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.

Product Identifiers

Publisher
Springer
ISBN-13
9789048144877
eBay Product ID (ePID)
178345559

Product Key Features

Author
G.N. Milstein
Publication Name
Numerical Integration of Stochastic Differential Equations
Format
Paperback
Language
English
Subject
Computer Science, Mathematics
Publication Year
2010
Type
Textbook
Number of Pages
172 Pages

Dimensions

Item Height
235mm
Item Width
155mm
Volume
313
Item Weight
290g

Additional Product Features

Title_Author
G.N. Milstein
Series Title
Mathematics and Its Applications
Country/Region of Manufacture
Netherlands

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