Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

Averina T.A. Artemiev S.S.

ISBN 10: 9067642509 / ISBN 13: 9789067642507

Editore: Brill Academic Publishers

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pp. viii + 176.

Codice articolo 181404063

Dati bibliografici

• Titolo: Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations
• Editore: Brill Academic Publishers
• Lingua: Inglese
• ISBN 10: 9067642509
• ISBN 13: 9789067642507
• Rilegatura: Rilegato
• Condizione: New

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Riassunto

01/07 This title is now available from Walter de Gruyter. Please see www.degruyter.com for more information. This book deals with numerical analysis of systems of both ordinary and stochastic differential equations. The first chapter is devoted to numerical solution problems of the Cauchy problem for stiff ordinary differential equation (ODE) systems by Rosenbrock-type methods (RTMs). Here, general solutions of consistency equations are obtained, which lead to the construction of RTMs from the first to the fourth order. The second chapter deals with statistical simulation problems of the solution of the Cauchy problem for stochastic differential equation (SDE) systems. The mean-square convergence theorem is considered, as well as Taylor expansions of numerical solutions. Also included are applications of numerical methods of SDE solutions to partial differential equations and to analysis and synthesis problems of automated control of stochastic systems.