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.
Numerical Integration of Stochastic Differential Equations
RRP:
$298.00
Description
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.
It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same...
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs,...
In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical...
In many scientific or engineering applications, where ordinary differen tial equation (OOE),partial differential equation (POE), or integral equation (IE) models are involved, numerical simulation...
This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published...
Discover your next great read at BookLoop, Australiand online bookstore offering a vast selection of titles across various genres and interests. Whether you're curious about what's trending or searching for graphic novels that captivate, thrilling crime and mystery fiction, or exhilarating action and adventure stories, our curated collections have something for every reader. Delve into imaginative fantasy worlds or explore the realms of science fiction that challenge the boundaries of reality. Fans of contemporary narratives will find compelling stories in our contemporary fiction section. Embark on epic journeys with our fantasy and science fiction titles,
Shop Trending Books and New Releases
Explore our new releases for the most recent additions in romance books, fantasy books, graphic novels, crime and mystery books, science fiction books as well as biographies, cookbooks, self help books, tarot cards, fortunetelling and much more. With titles covering current trends, booktok and bookstagram recommendations, and emerging authors, BookLoop remains your go-to local australian bookstore for buying books online across all book genres.
Shop Best Books By Collection
Stay updated with the literary world by browsing our trending books, featuring the latest bestsellers and critically acclaimed works. Explore titles from popular brands like Minecraft, Pokemon, Star Wars, Bluey, Lonely Planet, ABIA award winners, Peppa Pig, and our specialised collection of ADHD books. At BookLoop, we are committed to providing a diverse and enriching reading experience for all.
Sign In
your cart
Your cart is empty
Menu
Search
PRE-SALES
If you have any questions before making a purchase chat with our online operators to get more information.
