Stochastic Numerics for Mathematical Physics, 2nd Edition
Stochastic Numerics for Mathematical Physics
English | 2021 | ISBN: 3030820394 | 761 Pages | PDF EPUB | 62 MB
English | 2021 | ISBN: 3030820394 | 761 Pages | PDF EPUB | 62 MB
This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. 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.