Numerical Integration of Stochastic Differential Equations
نام عام مواد
[Book]
نام نخستين پديدآور
by G. N. Milstein.
وضعیت نشر و پخش و غیره
محل نشرو پخش و غیره
Dordrecht :
نام ناشر، پخش کننده و غيره
Imprint: Springer,
تاریخ نشرو بخش و غیره
1995.
فروست
عنوان فروست
Mathematics and Its Applications ;
مشخصه جلد
313
یادداشتهای مربوط به مندرجات
متن يادداشت
1. Mean-square approximation of solutions of systems of stochastic differential equations -- 2. Modeling of Itô integrals -- 3. Weak approximation of solutions of systems of stochastic differential equations -- 4. Application of the numerical integration of stochastic equations for the Monte-Carlo computation of Wiener integrals.
بدون عنوان
0
یادداشتهای مربوط به خلاصه یا چکیده
متن يادداشت
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.
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شماره استاندارد بين المللي کتاب و موسيقي
9789048144877
قطعه
عنوان
Springer eBooks
موضوع (اسم عام یاعبارت اسمی عام)
موضوع مستند نشده
Computer science.
موضوع مستند نشده
Distribution (Probability theory).
موضوع مستند نشده
Electronic data processing.
موضوع مستند نشده
Mathematics.
نام شخص به منزله سر شناسه - (مسئولیت معنوی درجه اول )