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Numerical Integration of Stochastic Differential Equations / by G. N. Milstein
| Numerical Integration of Stochastic Differential Equations / by G. N. Milstein |
| Autore | Milstein, Grigori N. |
| Pubbl/distr/stampa | Dordrecht, : Springer, : Kluwer, 1995 |
| Descrizione fisica | vii, 169 p. ; 24 cm |
| Soggetto topico |
34Fxx - Ordinary differential equations and systems with randomness [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 65-XX - Numerical analysis [MSC 2020] 65Cxx - Probabilistic methods, stochastic differential equations [MSC 2020] 65L05 - Numerical methods for initial value problems [MSC 2020] |
| Soggetto non controllato |
Approximations
Control theory Mathematical physics Mathematics Modeling Monte Carlo Methods Numerical integration Numerical methods Probability |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00294434 |
Milstein, Grigori N.
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| Dordrecht, : Springer, : Kluwer, 1995 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Stochastic Numerics for Mathematical Physics / Grigori N. Milstein, Michael V. Tretyakov
| Stochastic Numerics for Mathematical Physics / Grigori N. Milstein, Michael V. Tretyakov |
| Autore | Milstein, Grigori N. |
| Edizione | [2. ed] |
| Pubbl/distr/stampa | Cham, : Springer, 2021 |
| Descrizione fisica | xxv, 736 p. : ill. ; 24 cm |
| Altri autori (Persone) | Tretyakov, Michael V. |
| Soggetto topico |
35R60 - PDEs with randomness, stochastic partial differential equations [MSC 2020]
60-XX - Probability theory and stochastic processes [MSC 2020] 60H10 - Stochastic ordinary differential equations [MSC 2020] 60H35 - Computational methods for stochastic equations (aspects of stochastic analysis) [MSC 2020] 60J22 - Computational methods in Markov chains [MSC 2020] 60J60 - Diffusion processes [MSC 2020] 65C05 - Monte Carlo methods [MSC 2020] 65C30 - Numerical solutions to stochastic differential and integral equations [MSC 2020] |
| Soggetto non controllato |
Cauchy problem
Computing ergodic limits Financial mathematics Geometric Integration Langevin equations Mathematical biology Multi-level Monte Carlo methods Nonglobal Lipshitz coefficients Nonlinear parabolic equations Stochastic Hamiltonian systems Stochastic Partial Differential Equations Stochastic differential equations Strong and Weak Approximation for Partial Differential Equations Variance reduction |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00282825 |
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Milstein, Grigori N.
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| Cham, : Springer, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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