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Cookie akzeptierenMichael V. Tretyakov / Grigori N. Milstein
Stochastic Numerics for Mathematical Physics
- Springer International Publishing
- 2021
- Gebunden
- 764 Seiten
- ISBN 9783030820398
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
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