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Introduction. 1: Mean-square approximation of solutions of systems of shastic differential equations. 1. Theorem on the order of convergence (theorem on the relation between approximation on a finite interval and one-step approximation). 2. Methods based on an analog of Taylor expansion of the solution. 3. Explicit and implicit methods of order 3/2 for systems with additive noises. 4. Optimal integration methods for linear systems with additive noises. 5. A strengthening of the main convergence theorem. 2: Modeling of Itô integrals. 6. Modeling Itô integrals depending on a single noise. 7. Modeling Itô integrals depending on several noises. 3: Weak approximation of solutions of systems of shastic differential equations. 8. One-step approximation. 9. The main theorem on convergence of weak approximations and methods of order of accuracy two. 10. A method of order of accuracy three for systems with additive noises. 11. An implicit method. 12. Reducing the error of the Monte Carlo method. 4: Application of the numerical integration of shastic equations for the Monte Carlo computation of Wiener integrals. 13. Methods of order of accuracy two for computing Wiener integrals of functionals of integral type. 14. Methods of order of accuracy four for computing Wiener integrals of functionals of exponential type. Bibliography. Index.
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Add Numerical Integration of Stochastic Differential Equations, This book is devoted to mean-square and weak approximations of solutions of shastic differential equations (SDE). These approximations represent two fundamental aspects in the contemporary theory of SDE. Firstly, the construction of numerical methods for , Numerical Integration of Stochastic Differential Equations to the inventory that you are selling on WonderClubX
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Add Numerical Integration of Stochastic Differential Equations, This book is devoted to mean-square and weak approximations of solutions of shastic differential equations (SDE). These approximations represent two fundamental aspects in the contemporary theory of SDE. Firstly, the construction of numerical methods for , Numerical Integration of Stochastic Differential Equations to your collection on WonderClub |