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Milʹshteĭn, G. N. (Grigoriĭ Noĭkhovich)
Stochastic numerics for mathematical physics / G.N. Milstein, M.V. Tretyakov
Berlin ; New York : Springer-Verlag, 2010, c2004
book jacket
Location Call Number Status
 4th Floor  QC20.7.S8 M47 2004    AVAILABLE
Subject(s) Stochastic differential equations
Differential equations, Partial -- Numerical solutions
Mathematical physics
Physical Description ixx, 594 p. : ill. ; 25 cm
Note Includes bibliographical references (p. [571]-585) and index
Paperback published, c2010
Contents 1. Mean-square approximation for stochastic differential equations -- 2. Weak approximation for stochastic differential equations -- 3. Numerical methods for SDEs with small noise -- 4. Stochastic Hamiltonian systems and Langevin-type equations -- 5. Simulation of space and space-time bounded diffusions -- 6. Random walks for linear boundary value problems -- 7. Probabilistic approach to numerical solution of the Cauchy problem for nonlinear parabolic equations -- 8. Numerical solution of the nonlinear Dirichlet and Neumann problems based on the probabilistic approach -- 9. Application of stochastic numerics to models with stochastic resonance and to Brownian ratchets -- App. Practical guidance to implementation of the stochastic numerical methods
Series Scientific computation
Alternate Author Tretyakov, Michael V

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