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Chislennoe Integrirovanie Stokhasticheskikh Differentsial'nykh Uravneniy Ito
Kuznetsov Dmitriy
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Monografiya posvyashchena chislennomu integrirovaniyu stokhasticheskikh differentsial'nykh uravneniy (SDU) Ito. V knige, kak nigde polno i gluboko, osveshchena problema approksimatsii povtornykh stokhasticheskikh integralov Ito i Stratonovicha, primenitel'no k chislennomu integrirovaniyu SDU Ito. Monografiya soderzhit bol'shoy material po yavnym i neyavnym, odnoshagovym, dvukhshagovym i trekhshagovym, v tom chisle konechno-raznostnym (tipa Runge-Kutta), chislennym skhemam vysokikh poryadkov tochnosti dlya SDU Ito, osnovannym na stokhasticheskikh analogakh formuly Teylora (razlozheniya Teylora-Ito i Teylora-Stratonovicha). Chislennye metody, privedennye v knige, primeneny k chislennomu resheniyu raznoobraznykh matematicheskikh zadach, svyazannykh s SDU Ito (fil'tratsiya, stokhasticheskoe optimal'noe upravlenie, otsenivanie parametrov, stokhasticheskaya ustoychivost'). Privedeny polnye teksty komp'yuternykh programm v srede MATLAB. Kniga okazhetsya interesnoy spetsialistam po teorii sluchaynykh protsessov, prikladnoy i vychislitel'noy matematike, studentam starshikh kursov i aspirantam tekhnicheskikh vuzov i universitetov, programmistam.
- Format: Pocket/Paperback
- ISBN: 9783848482146
- Språk: Engelska
- Antal sidor: 700
- Utgivningsdatum: 2012-04-07
- Förlag: LAP Lambert Academic Publishing