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Автор: Grigori N. Milstein, Michael V. Tretyakov
Издательство: Springer
Год: 2021
Страниц: 754
Язык: английский
Формат: pdf (true)
Размер: 12.3 MB
This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition. The new topics, in particular, include mean-square and weak approximations in the case of nonglobally Lipschitz coefficients of Stochastic Differential Equations (SDEs) including the concept of rejecting trajectories; conditional probabilistic representations and their application to practical variance reduction using regression methods; multi-level Monte Carlo method; computing ergodic limits and additional classes of geometric integrators used in molecular dynamics; numerical methods for FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics.