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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Numerical Integration of Stochastic Differential Equations

Numerical Integration of Stochastic Differential Equations

Milstein, G. N.

Hardcover

Series: Mathematics and Its Applications, Book 313

General ComputersGeneral MathematicsProbability & Statistics

ISBN10: 079233213X
ISBN13: 9780792332138
Publisher: Springer Nature
Published: Nov 30 1994
Pages: 172
Weight: 1.01
Height: 0.84 Width: 6.52 Depth: 9.34
Language: English
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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