Stochastic Numerics for Mathematical Physics by Grigori N. Milstein
English | PDF | 2004 | 612 Pages | ISBN : 3540211101 | 44 MB
Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise.