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Stochastic Numerics for Mathematical Physics

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Cover of 'Stochastic Numerics for Mathematical Physics'

Table of Contents

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    Book Overview
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    Chapter 1 Mean-square approximation for stochastic differential equations
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    Chapter 2 Weak approximation for stochastic differential equations
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    Chapter 3 Numerical methods for SDEs with small noise
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    Chapter 4 Stochastic Hamiltonian systems and Langevin-type equations
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    Chapter 5 Simulation of space and space-time bounded diffusions
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    Chapter 6 Random walks for linear boundary value problems
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    Chapter 7 Probabilistic approach to numerical solution of the Cauchy problem for nonlinear parabolic equations
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    Chapter 8 Numerical solution of the nonlinear Dirichlet and Neumann problems based on the probabilistic approach
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    Chapter 9 Application of stochastic numerics to models with stochastic resonance and to Brownian ratchets
Attention for Chapter 3: Numerical methods for SDEs with small noise
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