Numerical Integration of Stochastic Differential Equations
Language: English
Published by Springer Netherlands Dez 2010, 2010
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 135.56
Quantity: 2 available
Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -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. 184 pp. Englisch.…
Seller Inventory # 9789048144877
- Title
- Numerical Integration of Stochastic Differential Equations
- Author
- G. N. Milstein
- Publisher
- Springer Netherlands Dez 2010
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 9048144876
- ISBN 13
- 9789048144877
- Item weight
- 289 grams
- Dimensions
- 235x155x11 mm
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.
"Synopsis" may belong to another edition of this title.
BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
Shipping rates from Germany to U.S.A.
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BuchWeltWeit Ludwig Meier e.K.
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