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Bücher Englische Bücher Wissen & Bildung Naturwissenschaft, Medizin, Informatik, Technik Informatik & EDV Allg. & Lexika Stochastic Numerics for Mathematical Physics
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Stochastic Numerics for Mathematical Physics
Grigori N. Milstein, Michael V. Tretyakov (Gebundene Ausgabe, Englisch)
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Beschreibung
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 FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics. SDEs have many applications in the natural sciences and in finance. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce the solution of multi-dimensional problems for partial differential equations to the integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. Many special schemes for SDEs are presented. In the second part of the book numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear, are constructed. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, applied probability, physics, chemistry, and engineering as well as mathematical biology and financial mathematics. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
04.12.2021
Sprache
Englisch
EAN
9783030820398
Herausgeber
Springer International Publishing
Serien- oder Bandtitel
Scientific Computation
Sonderedition
Nein
Autor
Grigori N. Milstein, Michael V. Tretyakov
Seitenanzahl
736
Auflage
2
Einbandart
Gebundene Ausgabe
Schlagwörter
Stochastic Differential Equations, SDEs, backward SDEs, computing ergodic limits, geometric integration, nonglobal Lipshitz coefficients, multi-level Monte Carlo methods, variance reduction, stochastic PDEs, stochastic Hamiltonian systems, Langevin equation, nonlinear parabolic equations, Cauchy problem, Strong and Weak Approximation for SDE, mathematical biology, financial mathematics
Thema-Inhalt
PBKS - Numerische Mathematik
PHU - Mathematische Physik
PNRP - Quanten- und theoretische Chemie
TBJ - Mathematik für Ingenieure
PSAX - DV-gestützte Biologie/Bioinformatik
PBW - Angewandte Mathematik
K - Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com, Springer Nature Customer Service Center GmbH
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