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Numerical Integration of Stochastic Differential Equations - G. N. Milstein
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Numerical Integration of Stochastic Differential Equations - neues Buch

ISBN: 9780792332138

ID: 865820143

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. br/ 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. br/ 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. br/ Numerical Integration of Stochastic Differential Equations Buch (fremdspr.) gebundene Ausgabe 30.11.1994 Bücher>Fremdsprachige Bücher>Englische Bücher, Springer Netherlands, .199

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Numerical Integration of Stochastic Differential Equations - G. N. Milstein
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
G. N. Milstein:
Numerical Integration of Stochastic Differential Equations - neues Buch

ISBN: 9780792332138

ID: 865230380

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. br/ 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. br/ 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. br/ Numerical Integration of Stochastic Differential Equations Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, Springer Netherlands

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Numerical Integration of Stochastic Differential Equations - Milstein, G. N.
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Numerical Integration of Stochastic Differential Equations - gebunden oder broschiert

ISBN: 9780792332138

[ED: Hardcover], [PU: Springer Netherlands], 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. In its simplest form, the method of characteristics is as follows. Consider a system of n ordinary differential equations dX = a(X) dt. (O.l ) Let Xx(t) be the solution of this system satisfying the initial condition Xx(O) = x. For an arbitrary continuously differentiable function u(x) we then have: (0.2) u(Xx(t)) - u(x) = j (a(Xx(t)), (Xx(t))) dt. viii, 172 S. 1 SW-Abb.,. 234 mm Versandfertig in 3-5 Tagen, DE, [SC: 0.00], Neuware, gewerbliches Angebot, offene Rechnung (Vorkasse vorbehalten)

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Numerical Integration of Stochastic Differential Equations - Milstein, G. N.
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Numerical Integration of Stochastic Differential Equations - gebunden oder broschiert

1994, ISBN: 079233213X

ID: A2998647

1995 Gebundene Ausgabe Mathematik, Wahrscheinlichkeitstheorie ( Wahrscheinlichkeit ), Wahrscheinlichkeit - Wahrscheinlichkeitstheorie, Wahrscheinlichkeitsrechnung und Statistik, Angewandte Mathematik, Informatik, Theoretische Informatik, Mathematica; Monte Carlo Method; Control Theory; mathematical physics; modeling; numerical methods; Probability; approximation, mit Schutzumschlag neu, [PU:Springer Netherlands; Springer Netherland]

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Numerical Integration of Stochastic Differential Equations - G.N. Milstein
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G.N. Milstein:
Numerical Integration of Stochastic Differential Equations - gebunden oder broschiert

ISBN: 9780792332138

ID: 9780792332138

Numerical Integration of Stochastic Differential Equations Numerical-Integration-of-Stochastic-Differential-Equations~~G-N-Milstein Science>Statistics & Probability>Statistics & Probability Hardcover, Springer Netherlands

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Details zum Buch
Numerical Integration of Stochastic Differential Equations

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.

Detailangaben zum Buch - Numerical Integration of Stochastic Differential Equations


EAN (ISBN-13): 9780792332138
ISBN (ISBN-10): 079233213X
Gebundene Ausgabe
Erscheinungsjahr: 1994
Herausgeber: Springer-Verlag GmbH
184 Seiten
Gewicht: 0,444 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 11.04.2007 21:52:46
Buch zuletzt gefunden am 27.12.2017 09:47:21
ISBN/EAN: 9780792332138

ISBN - alternative Schreibweisen:
0-7923-3213-X, 978-0-7923-3213-8


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