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Arnulf Jentzen - Böcker

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  1. Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients

    av Martin Hutzenthaler, Arnulf Jentzen

    Häftad, Engelska, 2015-07-30
    803
    Köp
    Skickas inom 10-15 vardagar.
    Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients

    Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge ...

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  2. Taylor Approximations for Stochastic Partial Differential Equations

    av Arnulf Jentzen

    Häftad, Engelska, 2011-12-08
    977
    Köp
    Skickas inom 10-15 vardagar.
    Taylor Approximations for Stochastic Partial Differential Equations

    This book presents a systematic theory of Taylor expansions of evolutionary-type stochastic partial differential equations (SPDEs). The authors show how Taylor expansions can be used to derive higher order numerical methods for SPDEs, with a focus...

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