Ergebnisse für: SDE approximation
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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...
Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochasti...
This book provides a self-contained lecture on a Malliavin calculus approach to asymptotic expansion and weak approximation of stochastic differential equations (SDEs),  along with numerical methods for computing parabolic partial differential equations (PDEs). Constructions of weak approximati...
This book provides a self-contained lecture on a Malliavin calculus approach to asymptotic expansion and weak approximation of stochastic differential equations (SDEs),  along with numerical methods for computing parabolic partial differential equations (PDEs). Constructions of weak approximati...
The main topic of this thesis is the solvability and numerical approximation of stochastic mechanical systems with nonlinear holonomic constraints. Such systems are described by second order stochastic differential-algebraic equations involving an implicitly given Lagrange multiplier process. By usi...
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...
Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochasti...
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.After explaining the basic elements of probability, the author introduces more ...
Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochasti...
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...
This book provides a comprehensive introduction to the theory of stochastic calculus and some of its applications. It is the only textbook on the subject to include more than two hundred exercises with complete solutions.After explaining the basic elements of probability, the author introduces more ...
In 1978, Fred Hoyle proposed that interstellar comets carrying several viruses landed on Earth as part of the panspermia hypotheses. With respect to life, the origin of homochirality on Earth has been the greatest mystery because life cannot exist without molecular asymmetry. Many scientists have pr...