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Product Details 基本信息 ISBN-13 书号 9783030820398 Author 作者 Grigori Noah Milstein Format 版本 精装 Pages Number 页数 720页 Publisher 出版社 Springer Berlin Heidelberg Publication Date 出版日期 2021-09-26 Language 语种 其它(含多语) Book Contents 内容简介 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
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Product Details 基本信息 ISBN-13 书号 9783540211105 Author 作者 Milstein Format 版本 精装 Pages Number 页数 596页 Publisher 出版社 Springer Berlin Heidelberg Publication Date 出版日期 2004-05-26 Language 语种 英语 Book Contents 内容简介 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 nonl
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Product Details 基本信息 ISBN-13 书号 9783030820428 Author 作者 Grigori N. Milstein Format 版本 平装-胶订 Pages Number 页数 736页 Publisher 出版社 Springer Berlin Heidelberg Publication Date 出版日期 2022-12-04 Product Dimensions 商品尺寸 9.21 x 6.14 x 1.52 Shipping Weight 商品重量 2.32 Language 语种 其它(含多语) Book Contents 内容简介 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 lim
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