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Numerical Integration of Stochastic Differential Equations: 313 (Mathematics and Its Applications) - Tapa dura
Sinopsis
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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Reseña del editor
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.
Reseña del editor
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.
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.
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Numerical Integration of Stochastic Differential Equations (Mathematics and Its Applications).
Publicado por
Berlin: Springer, 1994
ISBN 10: 079233213X
ISBN 13: 9780792332138
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Karton
Librería: Antiquariat Bernhardt, Kassel, Alemania
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Karton. Condición: Sehr gut. Zust: Gutes Exemplar. 172 Seiten Englisch 466g. Nº de ref. del artículo: 483282
Cantidad disponible: 1 disponibles
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Numerical Integration of Stochastic Differential Equations
Publicado por
Springer Netherlands, 1994
ISBN 10: 079233213X
ISBN 13: 9780792332138
Antiguo o usado
Tapa dura
Librería: Buchpark, Trebbin, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: Sehr gut. Zustand: Sehr gut | Seiten: 184 | Sprache: Englisch | Produktart: Sonstiges. Nº de ref. del artículo: 1653494/202
Cantidad disponible: 4 disponibles
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Numerical Integration of Stochastic Differential Equations
Impresión bajo demandaLibrería: moluna, Greven, Alemania
Calificación del vendedor: 5 de 5 estrellas
Gebunden. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Introduction. 1: Mean-square approximation of solutions of systems of stochastic differential equations. 1. Theorem on the order of convergence (theorem on the relation between approximation on a finite interval and one-step approximation). 2. Methods . Nº de ref. del artículo: 5967292
Cantidad disponible: Más de 20 disponibles
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Numerical Integration of Stochastic Differential Equations (Mathematics and Its Applications, 313)
Librería: Ria Christie Collections, Uxbridge, Reino Unido
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Condición: New. In. Nº de ref. del artículo: ria9780792332138_new
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Numerical Integration of Stochastic Differential Equations
Publicado por
Springer Netherlands Nov 1994, 1994
ISBN 10: 079233213X
ISBN 13: 9780792332138
Nuevo
Tapa dura
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Buch. Condición: Neu. 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. Nº de ref. del artículo: 9780792332138
Cantidad disponible: 2 disponibles
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Numerical Integration of Stochastic Differential Equations
Librería: GreatBookPrices, Columbia, MD, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Condición: New. Nº de ref. del artículo: 1212170-n
Cantidad disponible: Más de 20 disponibles
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Numerical Integration of Stochastic Differential Equations
Publicado por
Springer Netherlands, Springer Netherlands, 1994
ISBN 10: 079233213X
ISBN 13: 9780792332138
Nuevo
Tapa dura
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Buch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Nº de ref. del artículo: 9780792332138
Cantidad disponible: 1 disponibles
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Numerical Integration of Stochastic Differential Equations
Librería: GreatBookPricesUK, Woodford Green, Reino Unido
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Condición: New. Nº de ref. del artículo: 1212170-n
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Numerical Integration of Stochastic Differential Equations
Publicado por
Springer Netherlands, Springer Netherlands Nov 1994, 1994
ISBN 10: 079233213X
ISBN 13: 9780792332138
Nuevo
Tapa dura
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Buch. Condición: Neu. 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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 184 pp. Englisch. Nº de ref. del artículo: 9780792332138
Cantidad disponible: 2 disponibles
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Numerical Integration of Stochastic Differential Equations
Librería: Books Puddle, New York, NY, Estados Unidos de America
Calificación del vendedor: 4 de 5 estrellas
Condición: New. pp. 184. Nº de ref. del artículo: 26463153
Cantidad disponible: 4 disponibles