Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

S. S. Artemiev; T. A. Averina

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Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

S. S. Artemiev and T. A. Averina

Language: English

Published/Copyright: 1997

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I-VIII Requires Authentication Unlicensed Licensed Download PDF	I
1. Numerical Solution of the Cauchy Problem for Systems of Ordinary Differential Equations Requires Authentication Unlicensed Licensed Download PDF	1
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations Requires Authentication Unlicensed Licensed Download PDF	49
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.1. Elements of Probability Theory, Stochastic Processes and Statistical Simulation Requires Authentication Unlicensed Licensed Download PDF	50
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.2. Cauchy Problem for a SDE System. Main Definitions Requires Authentication Unlicensed Licensed Download PDF	57
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.3. Construction of SDEs with Given Probability Characteristics of Solution Requires Authentication Unlicensed Licensed Download PDF	64
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.4. Linear SDE Systems with Additive and Multiplicative Noise Requires Authentication Unlicensed Licensed Download PDF	73
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.5. Mean Square Stability of SDE Solutions. Stiff in Mean Square SDE Systems. Oscillatory Stochastic Systems Requires Authentication Unlicensed Licensed Download PDF	79
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.6. Simple Numerical Methods Generalizing the Explicit Runge-Kutta Methods Requires Authentication Unlicensed Licensed Download PDF	85
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.7. Families of Numerical Methods for Solving SDE Systems. Theorem of Convergence Requires Authentication Unlicensed Licensed Download PDF	90
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.8. Mean Square Consistency of Methods Requires Authentication Unlicensed Licensed Download PDF	94
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.9. Mean Square Stability of Methods Requires Authentication Unlicensed Licensed Download PDF	106
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.10. Numerical Methods for Solving Linear SDE Systems Requires Authentication Unlicensed Licensed Download PDF	116
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.11. Variable Step Algorithms for Solving SDEs Requires Authentication Unlicensed Licensed Download PDF	120
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.12. Numerical Solution of SDE System with Poisson Component Requires Authentication Unlicensed Licensed Download PDF	128
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.13. Applying SDE for Numerical Solution of Linear Elliptic and Parabolic Equations Requires Authentication Unlicensed Licensed Download PDF	133
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.14. Statistical Simulation of the SDE Solutions in Problems of Analysis and Synthesis of Automated Control Requires Authentication Unlicensed Licensed Download PDF	139
2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.15. Numerical Experiments Requires Authentication Unlicensed Licensed Download PDF	154
References Requires Authentication Unlicensed Licensed Download PDF	169

Publishing information

Pages and Images/Illustrations in book

eBook published on:

February 11, 2011

eBook ISBN:

9783110944662

Edition:

Reprint 2010

Pages and Images/Illustrations in book

Front matter:

8

Main content:

176

https://doi.org/10.1515/9783110944662

eBook ISBN: 9783110944662

Keywords for this book

Numerische Mathematik; Gewöhnliche Differentialgleichung; Stochastische Differentialgleichung

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

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