Numerical analysis of systems of ordinary and stochastic differential equations:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Utrecht
VSP
1997
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 176 S. |
| ISBN: | 9067642509 |
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Record in the Search Index
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| adam_text | NUMERICAL ANALYSIS OF SYSTEMS OF ORDINARY AND STOCHASTIC DIFFERENTIAL
EQUATIONS S.S. ARTEMIEV AND T.A. AVERINA ///VSP/// UTRECHT, THE
NETHERLANDS, 1997 CONTENTS PREFACE VII 1. NUMERICAL SOLUTION OF THE
CAUCHY PROBLEM FOR SYSTEMS OF ORDINARY DIFFERENTIAL EQUATIONS 1 1.1. THE
CAUCHY PROBLEM FOR AN ODE SYSTEM. LINEAR SYSTEMS. STIFF SYSTEMS 3 1.2.
SINGLE-STEP METHODS. MAIN DEFINITIONS 10 1.3. ROSENBROCK TYPE METHODS.
THE CONVERGENCE THEOREM 15 1.4. TAYLOR EXPANSION OF EXACT AND NUMERICAL
SOLUTIONS OF THE CAUCHY PROBLEM 19 1.5. CONSISTENCY OF RTMS 22 1.6.
.4-STABILITY OF RTMS 25 1.7. PRACTICAL APPLICATIONS OF RTMS TO THE
SOLUTION OF STIFF ODES 33 1.8. SOME GENERALIZATIONS OF RTMS 3 8 1.9.
NUMERICAL EXPERIMENTS 41 2. STATISTICAL SIMULATION OF THE CAUCHY PROBLEM
SOLUTION FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS 49 2.1.
ELEMENTS OF PROBABILITY THEORY, STOCHASTIC PROCESSES AND STATISTICAL
SIMULATION 50 2.2. CAUCHY PROBLEM FOR A SDE SYSTEM. MAIN DEFINITIONS 57
2.3. CONSTRUCTION OF SDES WITH GIVEN PROBABILITY CHARACTERISTICS OF
SOLUTION 64 2.4. LINEAR SDE SYSTEMS WITH ADDITIVE AND MULTIPLICATIVE
NOISE 73 2.5. MEAN SQUARE STABILITY OF SDE SOLUTIONS. STIFF IN MEAN
SQUARE SDE SYSTEMS. OSCILLATORY STOCHASTIC SYSTEMS 79 2.6. SIMPLE
NUMERICAL METHODS GENERALIZING THE EXPLICIT RUNGE-KUTTA METHODS 85 2.7.
FAMILIES OF NUMERICAL METHODS FOR SOLVING SDE SYSTEMS. THEOREM OF
CONVERGENCE 90 2.8. MEAN SQUARE CONSISTENCY OF METHODS 94 2.9. MEAN
SQUARE STABILITY OF METHODS 106 2.10. NUMERICAL METHODS FOR SOLVING
LINEAR SDE SYSTEMS 116 2.11. VARIABLE STEP ALGORITHMS FOR SOLVING SDES
120 CONTENTS 2.12. NUMERICAL SOLUTION OF SDE SYSTEM WITH POISSON
COMPONENT 128 2.13. APPLYING SDE FOR NUMERICAL SOLUTION OF LINEAR
ELLIPTIC AND PARABOLIC EQUATIONS 133 2.14. STATISTICAL SIMULATION OF THE
SDE SOLUTIONS IN PROBLEMS OF ANALYSIS AND SYNTHESIS OF AUTOMATED CONTROL
139 2.15. NUMERICAL EXPERIMENTS 154 REFERENCES 169
|
| any_adam_object | 1 |
| author | Artemiev, Sergej S. Averina, Tatjana A. |
| author_facet | Artemiev, Sergej S. Averina, Tatjana A. |
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| author_sort | Artemiev, Sergej S. |
| author_variant | s s a ss ssa t a a ta taa |
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| classification_rvk | SK 920 |
| ctrlnum | (OCoLC)39286508 (DE-599)BVBBV011636853 |
| dewey-full | 515.35 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
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| discipline | Mathematik |
| edition | 1. publ. |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:13:11Z |
| institution | BVB |
| isbn | 9067642509 |
| language | English |
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| physical | VI, 176 S. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
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| publisher | VSP |
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| spelling | Artemiev, Sergej S. Verfasser aut Numerical analysis of systems of ordinary and stochastic differential equations S. S. Artemiev and T. A. Averina 1. publ. Utrecht VSP 1997 VI, 176 S. txt rdacontent n rdamedia nc rdacarrier Differential equations Numerical solutions Averina, Tatjana A. Verfasser aut GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007842401&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Artemiev, Sergej S. Averina, Tatjana A. Numerical analysis of systems of ordinary and stochastic differential equations Differential equations Numerical solutions |
| title | Numerical analysis of systems of ordinary and stochastic differential equations |
| title_auth | Numerical analysis of systems of ordinary and stochastic differential equations |
| title_exact_search | Numerical analysis of systems of ordinary and stochastic differential equations |
| title_full | Numerical analysis of systems of ordinary and stochastic differential equations S. S. Artemiev and T. A. Averina |
| title_fullStr | Numerical analysis of systems of ordinary and stochastic differential equations S. S. Artemiev and T. A. Averina |
| title_full_unstemmed | Numerical analysis of systems of ordinary and stochastic differential equations S. S. Artemiev and T. A. Averina |
| title_short | Numerical analysis of systems of ordinary and stochastic differential equations |
| title_sort | numerical analysis of systems of ordinary and stochastic differential equations |
| topic | Differential equations Numerical solutions |
| topic_facet | Differential equations Numerical solutions |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007842401&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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