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Titre : | Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations |
Auteurs : | Artemiev S. S, Auteur ; Averina T. A, Auteur |
Type de document : | texte imprimé |
Editeur : | Walter de Gruyter, 1997 |
ISBN/ISSN/EAN : | 978-90-6764-250-7 |
Format : | 176p / 24cm |
Langues: | Anglais |
Catégories : | |
Mots-clés: | Numerical Analysis ; Systems ; Ordinary ; Stochastic Differential ; Equations |
Résumé : |
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. |
Note de contenu : |
1- Numerical Solution of the Cauchy Problem for Systems of Ordinary Differential Equations
2- Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations |
Exemplaires (2)
Code-barres | Cote | Support | Localisation | Section | Disponibilité |
---|---|---|---|---|---|
SC024155 | MA06382 | Livre | Magasin des Ouvrages | Mathématique | Exclu du prêt |
SC024156 | MA06383 | Livre | Magasin des Ouvrages | Mathématique | Disponible |