Stochastic Numerics for Mathematical Physics
Milstein G. N.
Stochastic Numerics for Mathematical Physics - 1ra - New York : Springer, 2004 - 594 páginas
1.Mean-square approximation for stochastic differential equations. 2.Weak approximation for stochastic differential equations. 3.Numerical methods for SDEs with small noise. 4.Stochastic Hamiltonian systems and langevin-type equation. 5.Simulation of space and space-time bounded diffusions. 6.Random walks for linear boundary value problems. 7.Probabilistic approach to numerical solution of the Cauchy problem for nonlinear parabolic equations. 8.Numerical solution of the nonlinear Dirichlet and Neumann problem based on the probabilistic approach. 9.Applications of stochastic numerics to models with stochastic resonance and to Brownian ratchets.
fcnm1436
530.15I/M57
Stochastic Numerics for Mathematical Physics - 1ra - New York : Springer, 2004 - 594 páginas
1.Mean-square approximation for stochastic differential equations. 2.Weak approximation for stochastic differential equations. 3.Numerical methods for SDEs with small noise. 4.Stochastic Hamiltonian systems and langevin-type equation. 5.Simulation of space and space-time bounded diffusions. 6.Random walks for linear boundary value problems. 7.Probabilistic approach to numerical solution of the Cauchy problem for nonlinear parabolic equations. 8.Numerical solution of the nonlinear Dirichlet and Neumann problem based on the probabilistic approach. 9.Applications of stochastic numerics to models with stochastic resonance and to Brownian ratchets.
fcnm1436
530.15I/M57