Stochastic Numerics for Mathematical Physics - Softcover

Softcover

ISBN 10: 3662100649 ISBN 13: 9783662100646

Publisher: Springer, 2014

Synopsis

1 Mean-square approximation for stochastic differential equations.- 2 Weak approximation for stochastic differential equations.- 3 Numerical methods for SDEs with small noise.- 4 Stochastic Hamiltonian systems and Langevin-type equations.- 5 Simulation of space and space-time bounded diffusions.- 6 Random walks for linear boundary value problems.- 7 Probabilistic approach to numerical solution of the Cauchy problem for nonlinear parabolic equations.- 8 Numerical solution of the nonlinear Dirichlet and Neumann problems based on the probabilistic approach.- 9 Application of stochastic numerics to models with stochastic resonance and to Brownian ratchets.- A Appendix: Practical guidance to implementation of the stochastic numerical methods.- A.1 Mean-square methods.- A.2 Weak methods and the Monte Carlo technique.- A.3 Algorithms for bounded diffusions.- A.4 Random walks for linear boundary value problems.- A.5 Nonlinear PDEs.- A.6 Miscellaneous.- References.

Edition details

• Publisher: Springer
• Publication date: 2014
• Language: English
• ISBN 10: 3662100649
• ISBN 13: 9783662100646
• Binding: Paperback
• Number of pages: 620
• Editor: Milstein Grigori Noah, Tretyakov Michael V