Stochastic Methods For Boundary Value Problems

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Stochastic Methods For Boundary Value Problems

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Author : Karl K. Sabel'fel'd
language : en
Publisher:
Release Date : 2016

Stochastic Methods For Boundary Value Problems written by Karl K. Sabel'fel'd and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

Stochastic Methods For Boundary Value Problems

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Author : Karl K. Sabelfeld
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2016-09-26

Stochastic Methods For Boundary Value Problems written by Karl K. Sabelfeld and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-26 with Mathematics categories.

This monograph is devoted to random walk based stochastic algorithms for solving high-dimensional boundary value problems of mathematical physics and chemistry. It includes Monte Carlo methods where the random walks live not only on the boundary, but also inside the domain. A variety of examples from capacitance calculations to electron dynamics in semiconductors are discussed to illustrate the viability of the approach. The book is written for mathematicians who work in the field of partial differential and integral equations, physicists and engineers dealing with computational methods and applied probability, for students and postgraduates studying mathematical physics and numerical mathematics. Contents: Introduction Random walk algorithms for solving integral equations Random walk-on-boundary algorithms for the Laplace equation Walk-on-boundary algorithms for the heat equation Spatial problems of elasticity Variants of the random walk on boundary for solving stationary potential problems Splitting and survival probabilities in random walk methods and applications A random WOS-based KMC method for electron–hole recombinations Monte Carlo methods for computing macromolecules properties and solving related problems Bibliography

Optimal Stopping And Free Boundary Problems

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Author : Goran Peskir
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-11-10

Optimal Stopping And Free Boundary Problems written by Goran Peskir and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-10 with Mathematics categories.

This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.

Stochastic Differential Equations

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Author : Bernt Oksendal
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09

Stochastic Differential Equations written by Bernt Oksendal and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.

These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.

Numerical Methods For Stochastic Control Problems In Continuous Time

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Author : Harold J. Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2001

Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold J. Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Language Arts & Disciplines categories.

The required background is surveyed, and there is an extensive development of methods of approximation and computational algorithms. The book is written on two levels: algorithms and applications, and mathematical proofs. Thus, the ideas should be very accessible to a broad audience."--BOOK JACKET.

Semiclassical Analysis For Diffusions And Stochastic Processes

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Author : Vassili N. Kolokoltsov
language : en
Publisher: Springer Verlag
Release Date : 2000-03-27

Semiclassical Analysis For Diffusions And Stochastic Processes written by Vassili N. Kolokoltsov and has been published by Springer Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-03-27 with Mathematics categories.

This book constitutes the refereed proceedings of the 4th European Conference on Computational Learning Theory, EuroCOLT'99, held in Nordkirchen, Germany in March 1999. The 21 revised full papers presented were selected from a total of 35 submissions; also included are two invited contributions. The book is divided in topical sections on learning from queries and counterexamples, reinforcement learning, online learning and export advice, teaching and learning, inductive inference, and statistical theory of learning and pattern recognition.

Stochastic Methods For Boundary Value Problems

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Author : Karl K. Sabelfeld
language : en
Publisher: de Gruyter
Release Date : 2016-09-26

Stochastic Methods For Boundary Value Problems written by Karl K. Sabelfeld and has been published by de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-26 with Mathematics categories.

This monograph is devoted to random walk based stochastic algorithms for solving high-dimensional boundary value problems of mathematical physics and chemistry. It includes Monte Carlo methods where the random walks live not only on the boundary, but also inside the domain. A variety of examples from capacitance calculations to electron dynamics in semiconductors are discussed to illustrate the viability of the approach.

Stochastic Equations And Differential Geometry

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Author : Ya.I. Belopolskaya
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Stochastic Equations And Differential Geometry written by Ya.I. Belopolskaya and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.

'Et moi ..., si j'avait su comment en revenir, One service mathematics has rendered the je n'y serais point aile.' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf next to the dusty canister labelled 'discarded n- sense'. The series is divergent; therefore we may be able to do something with it. Eric T. Bell O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics ... '; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series.

Stochastic Processes And Applications

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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19

Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.

This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Applied Stochastic Differential Equations

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Author : Simo Särkkä
language : en
Publisher: Cambridge University Press
Release Date : 2019-05-02

Applied Stochastic Differential Equations written by Simo Särkkä and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-02 with Business & Economics categories.

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.