Research Catalog
Numerical integration of stochastic differential equations
- Title
- Numerical integration of stochastic differential equations / by G.N. Milstein.
- Author
- Milʹshteĭn, G. N. (Grigoriĭ Noĭkhovich)
- Publication
- Dordrecht ; Boston : Kluwer Academic Publishers, [1995], ©1995.
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| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | QA274.23 .M5513 1995 | Off-site |
Holdings
Details
- Description
- vii, 169 pages; 25 cm.
- Series Statement
- Mathematics and its applications ; v. 313
- Uniform Title
- Chislennoe integrirovanie stokhasticheskikh different͡sialʹnykh uravneniĭ. English
- Mathematics and its applications (Kluwer Academic Publishers) ; v. 313.
- Alternative Title
- Chislennoe integrirovanie stokhasticheskikh different͡sialʹnykh uravneniĭ.
- Subjects
- Bibliography (note)
- Includes bibliographical references (p. 165-168) and index.
- Contents
- Ch. 1. Mean-square approximation of solutions of systems of stochastic differential equations. 1. Theorem on the order of convergence (theorem on the relation between approximation on a finite interval and one-step approximation). 2. Methods based on an analog of Taylor expansion of the solution. 3. Explicit and implicit methods of order 3/2 for systems with additive noises. 4. Optimal integration methods for linear systems with additive noises. 5. A strengthening of the main convergence theorem -- Ch. 2. Modeling of Ito integrals. 6. Modeling Ito integrals depending on a single noise. 7. Modeling Ito integrals depending on several noises -- Ch. 3. Weak approximation of solutions of systems of stochastic differential equations. 8. One-step approximation. 9. The main theorem on convergence of weak approximations and methods of order of accuracy two. 10. A method of order of accuracy three for systems with additive noises. 11. An implicit method. 12. Reducing the error of the Monte-Carlo method.
- Ch. 4. Application of the numerical integration of stochastic equations for the Monte-Carlo computation of Wiener integrals. 13. Methods of order of accuracy two for computing Wiener integrals of functionals of integral type. 14. Methods of order of accuracy four for computing Wiener integrals of functionals of exponential type.
- ISBN
- 079233213X (acid-free paper)
- LCCN
- 94037674
- OCLC
- 31331623
- ocm31331623
- Owning Institutions
- Columbia University Libraries