Stochastic Numerics for Mathematical Physics

Buch | Hardcover
XIX, 596 Seiten
2004 | 2004
Springer Berlin (Verlag)
978-3-540-21110-5 (ISBN)

Lese- und Medienproben

Stochastic Numerics for Mathematical Physics - Grigori Noah Milstein, Michael V. Tretyakov
171,19 inkl. MwSt
Zu diesem Artikel existiert eine Nachauflage

Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. The authors propose many new special schemes, some published here for the first time. In the second part of the book they construct numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, physics, chemistry, and engineering as well as mathematical biology and financial mathematics.

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 equations.- 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 problems based on the probabilistic approach.- 9 Application of stochastic numerics to models with stochastic resonance and to Brownian ratchets.- A Appendix: Practical guidance to implementation of the stochastic numerical methods.- A.1 Mean-square methods.- A.2 Weak methods and the Monte Carlo technique.- A.3 Algorithms for bounded diffusions.- A.4 Random walks for linear boundary value problems.- A.5 Nonlinear PDEs.- A.6 Miscellaneous.- References.

From the reviews of the first edition:

"Milstein and Tretyakov's book is a significant contribution to stochastic numerics. It is essential reading for anyone with serious interest in the field, either theoretical or practical." (Mathematical Reviews, 2005)

"The monograph presents research results of the authors concerning the numerical treatment of stochastic differential equations. ... The book is written in the style of a research exposition. It provides a rich source of mathematical theory, examples and insightful remarks and is thus essential material for those who are interested in the subject, from both a theoretical and practical viewpoint." (Evelyn Buckwar, Zentralblatt MATH, Vol. 1085, 2006)

Erscheint lt. Verlag 26.5.2004
Reihe/Serie Scientific Computation
Zusatzinfo XIX, 596 p.
Verlagsort Berlin
Sprache englisch
Maße 155 x 235 mm
Gewicht 1015 g
Themenwelt Naturwissenschaften Physik / Astronomie Allgemeines / Lexika
Schlagworte Hardcover, Softcover / Physik, Astronomie/Allgemeines, Lexika • HC/Physik, Astronomie/Allgemeines, Lexika • Mathematical Physics • Monte Carlo simulation • Potential • Problems of Mathematical Physics • Random Walk • stochastic analysis • Stochastic differential equations • Stochastic Modelling • Stochastische Differenzialgleichungen • Strong and Weak Approximation for SDE
ISBN-10 3-540-21110-1 / 3540211101
ISBN-13 978-3-540-21110-5 / 9783540211105
Zustand Neuware
Haben Sie eine Frage zum Produkt?
Mehr entdecken
aus dem Bereich
Das Lehrbuch

von Wilhelm Kulisch; Regine Freudenstein

Buch | Softcover (2024)
Wiley-VCH (Verlag)
39,99
für Studierende der Naturwissenschaften und Technik

von Paul A. Tipler; Peter Kersten; Gene Mosca

Buch | Hardcover (2024)
Springer Spektrum (Verlag)
79,99