Stochastic Numerics for Mathematical Physics [E-Book] / by Grigori N. Milstein, Michael V. Tretyakov.
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 Dif...
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Full text |
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Personal Name(s): | Milstein, Grigori N., author |
Tretyakov, Michael V., author | |
Edition: |
2nd edition 2021. |
Imprint: |
Cham :
Springer,
2021
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Physical Description: |
XXV, 736 pages 33 illustrations (online resource) |
Note: |
englisch |
ISBN: |
9783030820404 |
DOI: |
10.1007/978-3-030-82040-4 |
Series Title: |
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Scientific Computation
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Subject (LOC): |
- Mean-square Approximation for Stochastic Differential Equations
- Weak Approximation for Stochastic Differential Equations: Foundations
- Weak Approximation for Stochastic Differential Equations: Special Cases
- Numerical Methods for SDEs with Small Noise
- Geometric Integrators and Computing Ergodic Limits.