Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

S. S. Artemiev

ISBN 10: 9067642509 / ISBN 13: 9789067642507

Published by Walter de Gruyter

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Bibliographic Details

• Title: Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations
• Publisher: Walter de Gruyter
• Language: English
• ISBN 10: 9067642509
• ISBN 13: 9789067642507
• Binding: Hardcover
• Condition: New

About this title

Synopsis

This book deals with numerical analysis of systems of both ordinary and stochastic differential equations.
The first chapter is devoted to numerical solution problems of the Cauchy problem for stiff ordinary differential equation (ODE) systems by Rosenbrock-type methods (RTMs). Here, general solutions of consistency equations are obtained, which lead to the construction of RTMs from the first to the fourth order.
The second chapter deals with statistical simulation problems of the solution of the Cauchy problem for stochastic differential equation (SDE) systems. The mean-square convergence theorem is considered, as well as Taylor expansions of numerical solutions. Also included are applications of numerical methods of SDE solutions to partial differential equations and to analysis and synthesis problems of automated control of stochastic systems.