| 書目名稱 | Stochastic Numerics for Mathematical Physics |
| 編輯 | Grigori N. Milstein,Michael V. Tretyakov |
| 視頻video | http://file.papertrans.cn/879/878048/878048.mp4 |
| 概述 | Provides a rich source of practical algorithms for stochastic differential equations and related PDEs.Gives a solid theoretical foundation for stochastic numerics.Features a new chapter on backward st |
| 叢書名稱 | Scientific Computation |
| 圖書封面 |  |
| 描述 | .This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. The new topics, in particular, include mean-square and weak approximations in the case of nonglobally Lipschitz coefficients of Stochastic Differential Equations (SDEs) including the concept of rejecting trajectories; conditional probabilistic representations and their application to practical variance reduction using regression methods; multi-level Monte Carlo method; computing ergodic limits and additional classes of geometric integrators used in molecular dynamics; numerical methods for FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics..SDEs have many applications in the natural sciences and in finance. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce the solution of multi-dimensional problems for partial differential equations to the integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. Many special schemes for SDEs are |
| 出版日期 | Book 2021Latest edition |
| 關(guān)鍵詞 | Stochastic Differential Equations; SDEs; backward SDEs; computing ergodic limits; geometric integration; |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-3-030-82040-4 |
| isbn_softcover | 978-3-030-82042-8 |
| isbn_ebook | 978-3-030-82040-4Series ISSN 1434-8322 Series E-ISSN 2198-2589 |
| issn_series | 1434-8322 |
| copyright | Springer Nature Switzerland AG 2021 |
|Archiver|手機(jī)版|小黑屋|
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