rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Numerical Integration of Stochastic Differential Equations
  name:
    name part: Milʹshteĭn, G. N. (Grigoriĭ Noĭkhovich)
    role:
      role term: creator
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  genre: Electronic books.
  origin info:
    place:
      place term: ne
    date issued: 1995
    issuance: monographic
  language:
    language term: eng
  physical description:
    reformatting quality: access
    form: remote
    extent: 1 online resource (vii, 172 pages)
  abstract: This book is devoted to mean-square and weak approximations of solutions of stochastic differential equations (SDE). These approximations represent two fundamental aspects in the contemporary theory of SDE. Firstly, the construction of numerical methods for such systems is important as the solutions provided serve as characteristics for a number of mathematical physics problems. Secondly, the employment of probability representations together with a Monte Carlo method allows us to reduce the solution of complex multidimensional problems of mathematical physics to the integration of stochastic equations. Along with a general theory of numerical integrations of such systems, both in the mean-square and the weak sense, a number of concrete and sufficiently constructive numerical schemes are considered. Various applications and particularly the approximate calculation of Wiener integrals are also dealt with. This book is of interest to graduate students in the mathematical, physical and engineering sciences, and to specialists whose work involves differential equations, mathematical physics, numerical mathematics, the theory of random processes, estimation and control theory.
  note: by G.N. Milstein.
  note: Electronic resource.
  subject:
    topic: Computer science
  subject:
    topic: Electronic data processing
  subject:
    topic: Mathematics
  subject:
    topic: Distribution (Probability theory)
  subject:
    topic: Computer science
  subject:
    topic: Distribution (Probability theory)
  subject:
    topic: Electronic data processing
  subject:
    topic: Mathematics
  classification: QA297-299.4
  classification: 518
  related item:
    title info:
      title: Mathematics and its applications ; 313
  identifier: 9789401584555 (electronic bk.)
  identifier: 9401584559 (electronic bk.)
  identifier: 9789048144877
  identifier: 9048144876
  identifier: 9401584559
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: AU@
    record creation date: 130109
    record change date: 20260422225552.8
    record identifier: in00003564204
    language of cataloging:
      language term: eng