Download or read book Probabilistic Methods for Finite Difference Approximations to Degenerate Elliptic and Parabolic Equations with Neumann and Dirichlet Boundary Conditions written by Harold Joseph Kushner and published by . This book was released on 1974 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author considers several types of problems related to elliptic and parabolic equations with boundary conditions, their relation to diffusions that are reflected from or absorbed on a boundary, finite difference approximations to the partial differential equations and Markov chain approximations to the processes, relations between the discrete and continuous problems, and the problem of convergence of these approximations.
Download or read book Continuous Time Random Walks for the Numerical Solution of Stochastic Differential Equations written by Nawaf Bou-Rabee and published by American Mathematical Soc.. This book was released on 2019-01-08 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.
Download or read book Numerical Methods for Stochastic Control Problems in Continuous Time written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
Download or read book A Probabilistic Study of Linear Elliptic parabolic Equations of Second Order written by Iain Johnstone and published by . This book was released on 1979 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Probability Methods for the Convergence of Finite Difference Approximations to Partial Differential Equations written by Harold Joseph Kushner and published by . This book was released on 1972 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper applies some results on weak convergence of probability measures to the problem of convergence of finite difference approximations to a broad class of degenerate elliptic and parabolic partial differential equations. The equations are of type which arise in stochastic control theory and, generally, have only weak solutions. Interest in the problem stems from interest in stochastic control theory, and in numerical methods for the solution of stochastic control problems. The results are of interest in stochastic control theory and in numerical analysis. Some conditions are stated, the problem is discussed along with its probabilistic interpretation. (Author).
Download or read book Heavy Traffic Analysis of Controlled Queueing and Communication Networks written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2013-11-21 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the first books in the timely and important area of heavy traffic analysis of controlled and uncontrolled stochastics networks, by one of the leading authors in the field. The general theory is developed, with possibly state dependent parameters, and specialized to many different cases of practical interest.
Download or read book Russian Journal of Numerical Analysis and Mathematical Modelling written by and published by . This book was released on 2001 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Approximation Methods written by Harold Cohen and published by Springer Science & Business Media. This book was released on 2011-09-28 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents numerical and other approximation techniques for solving various types of mathematical problems that cannot be solved analytically. In addition to well known methods, it contains some non-standard approximation techniques that are now formally collected as well as original methods developed by the author that do not appear in the literature. This book contains an extensive treatment of approximate solutions to various types of integral equations, a topic that is not often discussed in detail. There are detailed analyses of ordinary and partial differential equations and descriptions of methods for estimating the values of integrals that are presented in a level of detail that will suggest techniques that will be useful for developing methods for approximating solutions to problems outside of this text. The book is intended for researchers who must approximate solutions to problems that cannot be solved analytically. It is also appropriate for students taking courses in numerical approximation techniques.
Download or read book Probability Theory Subject Indexes from Mathematical Reviews written by American Mathematical Society and published by . This book was released on 1987 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analysis of Approximation Methods for Differential and Integral Equations written by Hans-Jürgen Reinhardt and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is primarily based on the research done by the Numerical Analysis Group at the Goethe-Universitat in Frankfurt/Main, and on material presented in several graduate courses by the author between 1977 and 1981. It is hoped that the text will be useful for graduate students and for scientists interested in studying a fundamental theoretical analysis of numerical methods along with its application to the most diverse classes of differential and integral equations. The text treats numerous methods for approximating solutions of three classes of problems: (elliptic) boundary-value problems, (hyperbolic and parabolic) initial value problems in partial differential equations, and integral equations of the second kind. The aim is to develop a unifying convergence theory, and thereby prove the convergence of, as well as provide error estimates for, the approximations generated by specific numerical methods. The schemes for numerically solving boundary-value problems are additionally divided into the two categories of finite difference methods and of projection methods for approximating their variational formulations.
Download or read book SIAM Review written by Society for Industrial and Applied Mathematics and published by . This book was released on 1959 with total page 888 pages. Available in PDF, EPUB and Kindle. Book excerpt: Articles include expository or survey papers focusing on important advances in applied or computational mathematics, or papers outlining the mathematical and computational challenges in scientific or engineering applications. Other features include essays, book reviews, classroom and industrial notes, and problems and solutions.
Download or read book Conservative Finite Difference Methods on General Grids written by Mikhail Shashkov and published by CRC Press. This book was released on 2018-02-06 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new book deals with the construction of finite-difference (FD) algorithms for three main types of equations: elliptic equations, heat equations, and gas dynamic equations in Lagrangian form. These methods can be applied to domains of arbitrary shapes. The construction of FD algorithms for all types of equations is done on the basis of the support-operators method (SOM). This method constructs the FD analogs of main invariant differential operators of first order such as the divergence, the gradient, and the curl. This book is unique because it is the first book not in Russian to present the support-operators ideas. Conservative Finite-Difference Methods on General Grids is completely self-contained, presenting all the background material necessary for understanding. The book provides the tools needed by scientists and engineers to solve a wide range of practical engineering problems. An abundance of tables and graphs support and explain methods. The book details all algorithms needed for implementation. A 3.5" IBM compatible computer diskette with the main algorithms in FORTRAN accompanies text for easy use.
Download or read book National Union Catalog written by and published by . This book was released on 1982 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes entries for maps and atlases.
Download or read book Referativny zhurnal written by and published by . This book was released on 1976 with total page 1084 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book SIAM Journal on Control and Optimization written by Society for Industrial and Applied Mathematics and published by . This book was released on 1976 with total page 794 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains research articles on the mathematics and applications of control theory and on those parts of optimization theory concerned with the dynamics of deterministic or stochastic systems in continuous or discrete time or otherwise dealing with differential equations, dynamics, infinite-dimensional spaces, or fundamental issues in variational analysis and geometry.
Download or read book Mathematical Reviews written by and published by . This book was released on 1998 with total page 836 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Government Reports Annual Index written by and published by . This book was released on 1975 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt:
