Stochastic Numerics for Mathematical Physics

Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochasti...

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Main Authors: Milstein, Grigori Noah, Tretyakov, Michael V. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2004, 2004
Edition:1st ed. 2004
Series:Scientific Computation
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • Practical guidance to implementation of the stochastic numerical methods
  • A.1 Mean-square methods
  • A.2 Weak methods and the Monte Carlo technique
  • A.3 Algorithms for bounded diffusions
  • A.4 Random walks for linear boundary value problems
  • A.5 Nonlinear PDEs
  • A.6 Miscellaneous
  • References