Numerical Integration of Stochastic Differential Equations

[bookbestseller]

Numerical Integration of Stochastic Differential Equations by G. N. Milstein
English | PDF | 1995 | 178 Pages | ISBN : 079233213X | 31.1 MB
U sing stochastic differential equations we can successfully model systems that func- tion in the presence of random perturbations. Such systems are among the basic objects of modern control theory. However, the very importance acquired by stochas- tic differential equations lies, to a large extent, in the strong connections they have with the equations of mathematical physics. It is well known that problems in math- ematical physics involve 'damned dimensions', of ten leading to severe difficulties in solving boundary value problems. A way out is provided by stochastic equations, the solutions of which of ten come about as characteristics.

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