Continuous-time random walks for the numerical solution of stochastic differential equations:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Providence, Rhode Island
American Mathematical Society
[2018]
|
| Schriftenreihe: | Memoirs of the American Mathematical Society
Volume 256, Number 1228 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | v, 124, 4 ungezählte Seiten Diagramme |
| ISBN: | 9781470431815 |
Internformat
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| 245 | 1 | 0 | |a Continuous-time random walks for the numerical solution of stochastic differential equations |c Nawaf Bou-Rabee, Eric Vanden-Eijnden |
| 264 | 1 | |a Providence, Rhode Island |b American Mathematical Society |c [2018] | |
| 264 | 4 | |c © 2018 | |
| 300 | |a v, 124, 4 ungezählte Seiten |b Diagramme | ||
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| 490 | 1 | |a Memoirs of the American Mathematical Society |v Volume 256, Number 1228 | |
| 650 | 0 | 7 | |a Stochastische Differentialgleichung |0 (DE-588)4057621-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Irrfahrtsproblem |0 (DE-588)4162442-7 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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| adam_text | Contents
Chapter 1. Introduction 1
1.1. Motivation 1
1.2. Main Results 2
1.3. Relation to Other Works 6
1.4. Organization of Paper 7
1.5. Acknowledgements 8
Chapter 2. Algorithms 9
2.1. Realizability Condition 9
2.2. Gridded vs Gridless State Spaces 11
2.3. Realizable Discretizations in ID 12
2.4. Realizable Discretizations in 2D 17
2.5. Realizable Discretizations in nD 21
2.6. Scaling of Approximation with System Size 24
2.7. Generalization of Realizable Discretizations in nD 26
2.8. Weakly Diagonally Dominant Case 27
Chapter 3. Examples Applications 31
3.1. Introduction 31
3.2. Cubic Oscillator in ID with Additive Noise 32
3.3. Asymptotic Analysis of Mean Holding Time 35
3.4. Adaptive Mesh Refinement in ID 37
3.5. Log-normal Process in ID with Multiplicative Noise 37
3.6. Cox-Ingersoll-Ross Process in ID with Multiplicative Noise 38
3.7. SDEs in 2D with Additive Noise 42
3.8. Adaptive Mesh Refinement in 2D 52
3.9. Log-normal Process in 2D with Multiplicative Noise 55
3.10. Lotka-Volterra Process in 2D with Multiplicative Noise 57
3.11. Colloidal Cluster in 39D with Multiplicative Noise 58
Chapter 4. Analysis on Gridded State Spaces 67
4.1. Assumptions 67
4.2. Stability by Stochastic Lyapunov Function 74
4.3. Properties of Realizations 83
4.4. Generator Accuracy 90
4.5. Global Error Analysis 91
Chapter 5. Analysis on Gridless State Spaces 95
5.1. A Random Walk in a Random Environment 95
5.2. Generator Accuracy 96
iii
IV
CONTENTS
5.3. Stability by Stochastic Lyapunov Function 97
5.4. Finite-Time Accuracy 99
5.5. Feller Property 100
5.6. Stationary Distribution Accuracy 101
Chapter 6. Tridiagonal Case 103
6.1. Invariant Density 103
6.2. Stationary Density Accuracy 105
6.3. Exit Probability 107
6.4. Mean First Passage Time 108
Chapter 7. Conclusion and Outlook 113
Bibliography 117
|
| any_adam_object | 1 |
| author | Bou-Rabee, Nawaf Vanden-Eijnden, Eric |
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| discipline | Mathematik |
| format | Book |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:18:59Z |
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| isbn | 9781470431815 |
| language | English |
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| series | Memoirs of the American Mathematical Society |
| series2 | Memoirs of the American Mathematical Society |
| spelling | Bou-Rabee, Nawaf (DE-588)1176683675 aut Continuous-time random walks for the numerical solution of stochastic differential equations Nawaf Bou-Rabee, Eric Vanden-Eijnden Providence, Rhode Island American Mathematical Society [2018] © 2018 v, 124, 4 ungezählte Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Memoirs of the American Mathematical Society Volume 256, Number 1228 Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Irrfahrtsproblem (DE-588)4162442-7 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 s DE-604 Irrfahrtsproblem (DE-588)4162442-7 s Vanden-Eijnden, Eric aut Memoirs of the American Mathematical Society Volume 256, Number 1228 (DE-604)BV008000141 1228 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030853515&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bou-Rabee, Nawaf Vanden-Eijnden, Eric Continuous-time random walks for the numerical solution of stochastic differential equations Memoirs of the American Mathematical Society Stochastische Differentialgleichung (DE-588)4057621-8 gnd Irrfahrtsproblem (DE-588)4162442-7 gnd |
| subject_GND | (DE-588)4057621-8 (DE-588)4162442-7 |
| title | Continuous-time random walks for the numerical solution of stochastic differential equations |
| title_auth | Continuous-time random walks for the numerical solution of stochastic differential equations |
| title_exact_search | Continuous-time random walks for the numerical solution of stochastic differential equations |
| title_full | Continuous-time random walks for the numerical solution of stochastic differential equations Nawaf Bou-Rabee, Eric Vanden-Eijnden |
| title_fullStr | Continuous-time random walks for the numerical solution of stochastic differential equations Nawaf Bou-Rabee, Eric Vanden-Eijnden |
| title_full_unstemmed | Continuous-time random walks for the numerical solution of stochastic differential equations Nawaf Bou-Rabee, Eric Vanden-Eijnden |
| title_short | Continuous-time random walks for the numerical solution of stochastic differential equations |
| title_sort | continuous time random walks for the numerical solution of stochastic differential equations |
| topic | Stochastische Differentialgleichung (DE-588)4057621-8 gnd Irrfahrtsproblem (DE-588)4162442-7 gnd |
| topic_facet | Stochastische Differentialgleichung Irrfahrtsproblem |
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| volume_link | (DE-604)BV008000141 |
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