Numerical Integration of Stochastic Differential Equations

G. N. Milstein

ISBN 10: 079233213X / ISBN 13: 9780792332138

Published by Springer Netherland, 1994

About this Item

Numerical Integration of Stochastic Differential Equations | G. N. Milstein | Buch | viii | Englisch | 1994 | Springer Netherland | EAN 9780792332138 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand.

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Bibliographic Details

• Title: Numerical Integration of Stochastic Differential Equations
• Publisher: Springer Netherland
• Publication Date: 1994
• Language: English
• ISBN 10: 079233213X
• ISBN 13: 9780792332138
• Binding: Buch
• Condition: Neu
• Dimensions: 241W x 160H x 15D millimeters 241 millimeters width by 160 millimeters height by 15 millimeters depth
• Weight: 448 grams
• Seller catalogs:
  • Bücher

About this title

Synopsis

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.

Language Notes

Text: English (translation)
Original Language: Russian