Numerical Integration of Stochastic Differential Equations by G.N. Milstein (Eng

Description: Numerical Integration of Stochastic Differential Equations by G.N. Milstein Estimated delivery 3-12 business days Format Paperback Condition Brand New Description U sing stochastic differential equations we can successfully model systems that funcÂ tion in the presence of random perturbations. Such systems are among the basic objects of modern control theory. However, the very importance acquired by stochasÂ 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 mathÂ 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))) Publisher Description 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. Details ISBN 9048144876 ISBN-13 9789048144877 Title Numerical Integration of Stochastic Differential Equations Author G.N. Milstein Format Paperback Year 2010 Pages 172 Edition 1st Publisher Springer GE_Item_ID:140305149; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys

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