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ISBN: 9780792332138
ID: 9780792332138
This book is devoted to mean-square and weak approximations of solutions of shastic 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 This book is devoted to mean-square and weak approximations of solutions of shastic 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 shastic 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. Books, Computers~~Programming~~Algorithms, Numerical-Integration-of-Stochastic-Differential-Equations~~G-N-Milstein, 999999999, Numerical Integration of Stochastic Differential Equations, G.N. Milstein, G.N. Milstein, 079233213X, Springer Netherlands, , , , , Springer Netherlands
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ISBN: 9780792332138
ID: 9780792332138
This book is devoted to mean-square and weak approximations of solutions of shastic 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 This book is devoted to mean-square and weak approximations of solutions of shastic 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 shastic 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. Books, Computers~~Programming~~Algorithms, Numerical-Integration-of-Stochastic-Differential-Equations~~G-N-Milstein, , , , , , , , , , Springer Netherlands
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ISBN: 9780792332138
ID: 6385349
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 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. Books, Science and Geography~~Mathematics~~Number Theory, Numerical Integration Of Stochastic Differential Equations~~Book~~9780792332138~~G.N. Milstein, , , , , , , , , ,, [PU: Kluwer Academic Publishers]
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ISBN: 9780792332138
ID: 2a24db0262c9f43d576858fa1692588c
Numerical Integration of Stochastic Differential Equations 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. br/ 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. br/ 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. br/ Bücher / Fremdsprachige Bücher / Englische Bücher 978-0-7923-3213-8, Springer
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Nr. 5079862 Frais d'envoiBücher und alle Bestellungen die ein Buch enthalten sind versandkostenfrei, sonstige Bestellungen innerhalb Deutschland EUR 3,-, ab EUR 20,- kostenlos, Bürobedarf EUR 4,50, kostenlos ab EUR 45,-, Versandfertig in 5 - 7 Tagen, zzgl. Versandkosten, Livraison non-comprise
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ISBN: 9780792332138
ID: 180639177
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. br/ 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. br/ 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. br/ Numerical Integration of Stochastic Differential Equations Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, Springer
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Titre: | Numerical Integration of Stochastic Differential Equations |
ISBN: | 079233213X |
Informations détaillées sur le livre - Numerical Integration of Stochastic Differential Equations
EAN (ISBN-13): 9780792332138
ISBN (ISBN-10): 079233213X
Version reliée
Date de parution: 1994
Editeur: Springer-Verlag GmbH
184 Pages
Poids: 0,444 kg
Langue: eng/Englisch
Livre dans la base de données depuis 11.04.2007 21:52:46
Livre trouvé récemment le 25.06.2016 21:44:54
ISBN/EAN: 079233213X
ISBN - Autres types d'écriture:
0-7923-3213-X, 978-0-7923-3213-8
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