Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Providence, RI
American Math. Soc.
2015
|
| Schriftenreihe: | Memoirs of the American Mathematical Society
1112 = Vol. 236,2 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV042695957 | ||
| 003 | DE-604 | ||
| 005 | 20210924 | ||
| 007 | t| | ||
| 008 | 150715s2015 xx |||| 00||| eng d | ||
| 020 | |a 9781470409845 |9 978-1-4704-0984-5 | ||
| 035 | |a (OCoLC)914679178 | ||
| 035 | |a (DE-599)BSZ435349740 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-83 |a DE-29T |a DE-355 |a DE-384 |a DE-11 | ||
| 084 | |a SI 130 |0 (DE-625)143082: |2 rvk | ||
| 084 | |a 60C05 |2 msc | ||
| 084 | |a 60H35 |2 msc | ||
| 084 | |a 60C30 |2 msc | ||
| 100 | 1 | |a Hutzenthaler, Martin |d 1978- |e Verfasser |0 (DE-588)133312526 |4 aut | |
| 245 | 1 | 0 | |a Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients |c Martin Hutzenthaler ; Arnulf Jentzen |
| 264 | 1 | |a Providence, RI |b American Math. Soc. |c 2015 | |
| 300 | |a V, 99 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Memoirs of the American Mathematical Society |v 1112 = Vol. 236,2 | |
| 500 | |a "Volume 236, number 1112 (second of 6 numbers), July 2015." | ||
| 650 | 0 | 7 | |a Differentialoperator |0 (DE-588)4012251-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische Differentialgleichung |0 (DE-588)4057621-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Stochastische Differentialgleichung |0 (DE-588)4057621-8 |D s |
| 689 | 0 | 1 | |a Differentialoperator |0 (DE-588)4012251-7 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Jentzen, Arnulf |d 1983- |e Verfasser |0 (DE-588)13971555X |4 aut | |
| 830 | 0 | |a Memoirs of the American Mathematical Society |v 1112 = Vol. 236,2 |w (DE-604)BV008000141 |9 1112 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028127547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-028127547 | |
Datensatz im Suchindex
| _version_ | 1819781432949604352 |
|---|---|
| adam_text | Contents
Chapter 1. Introduction 1
1.1. Notation 5
Chapter 2. Integrability properties of approximation processes for SDEs 9
2.1. General discrete-time stochastic processes 9
2.2. Explicit approximation schemes 20
2.3. Implicit approximation schemes 34
Chapter 3. Convergence properties of approximation processes for SDEs 45
3.1. Setting and assumptions 45
3.2. Consistency 45
3.3. Convergence in probability 46
3.4. Strong convergence 54
3.5. Weak convergence 59
3.6. Numerical schemes for SDEs 65
Chapter 4. Examples of SDEs 79
4.1. Setting and assumptions 79
4.2. Stochastic van der Pol oscillator 80
4.3. Stochastic Duffing-van der Pol oscillator 81
4.4. Stochastic Lorenz equation 82
4.5. Stochastic Brusselator in the well-stirred case 82
4.6. Stochastic SIR model 84
4.7. Experimental psychology model 85
4.8. Scalar stochastic Ginzburg-Landau equation 86
4.9. Stochastic Lotka-Volterra equations 86
4.10. Volatility processes 89
4.11. Overdamped Langevin equation 92
Bibliography 95
|
| any_adam_object | 1 |
| author | Hutzenthaler, Martin 1978- Jentzen, Arnulf 1983- |
| author_GND | (DE-588)133312526 (DE-588)13971555X |
| author_facet | Hutzenthaler, Martin 1978- Jentzen, Arnulf 1983- |
| author_role | aut aut |
| author_sort | Hutzenthaler, Martin 1978- |
| author_variant | m h mh a j aj |
| building | Verbundindex |
| bvnumber | BV042695957 |
| classification_rvk | SI 130 |
| ctrlnum | (OCoLC)914679178 (DE-599)BSZ435349740 |
| discipline | Mathematik |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01927nam a2200421 cb4500</leader><controlfield tag="001">BV042695957</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20210924 </controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">150715s2015 xx |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781470409845</subfield><subfield code="9">978-1-4704-0984-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)914679178</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BSZ435349740</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-83</subfield><subfield code="a">DE-29T</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SI 130</subfield><subfield code="0">(DE-625)143082:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60C05</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60H35</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60C30</subfield><subfield code="2">msc</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Hutzenthaler, Martin</subfield><subfield code="d">1978-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)133312526</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients</subfield><subfield code="c">Martin Hutzenthaler ; Arnulf Jentzen</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Providence, RI</subfield><subfield code="b">American Math. Soc.</subfield><subfield code="c">2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">V, 99 S.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Memoirs of the American Mathematical Society</subfield><subfield code="v">1112 = Vol. 236,2</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">"Volume 236, number 1112 (second of 6 numbers), July 2015."</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Differentialoperator</subfield><subfield code="0">(DE-588)4012251-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische Differentialgleichung</subfield><subfield code="0">(DE-588)4057621-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Stochastische Differentialgleichung</subfield><subfield code="0">(DE-588)4057621-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Differentialoperator</subfield><subfield code="0">(DE-588)4012251-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Jentzen, Arnulf</subfield><subfield code="d">1983-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)13971555X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Memoirs of the American Mathematical Society</subfield><subfield code="v">1112 = Vol. 236,2</subfield><subfield code="w">(DE-604)BV008000141</subfield><subfield code="9">1112</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028127547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028127547</subfield></datafield></record></collection> |
| id | DE-604.BV042695957 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-24T04:31:21Z |
| institution | BVB |
| isbn | 9781470409845 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028127547 |
| oclc_num | 914679178 |
| open_access_boolean | |
| owner | DE-83 DE-29T DE-355 DE-BY-UBR DE-384 DE-11 |
| owner_facet | DE-83 DE-29T DE-355 DE-BY-UBR DE-384 DE-11 |
| physical | V, 99 S. |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | American Math. Soc. |
| record_format | marc |
| series | Memoirs of the American Mathematical Society |
| series2 | Memoirs of the American Mathematical Society |
| spellingShingle | Hutzenthaler, Martin 1978- Jentzen, Arnulf 1983- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients Memoirs of the American Mathematical Society Differentialoperator (DE-588)4012251-7 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| subject_GND | (DE-588)4012251-7 (DE-588)4057621-8 |
| title | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients |
| title_auth | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients |
| title_exact_search | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients |
| title_full | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients Martin Hutzenthaler ; Arnulf Jentzen |
| title_fullStr | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients Martin Hutzenthaler ; Arnulf Jentzen |
| title_full_unstemmed | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients Martin Hutzenthaler ; Arnulf Jentzen |
| title_short | Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients |
| title_sort | numerical approximations of stochastic differential equations with non globally lipschitz continuous coefficients |
| topic | Differentialoperator (DE-588)4012251-7 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd |
| topic_facet | Differentialoperator Stochastische Differentialgleichung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028127547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV008000141 |
| work_keys_str_mv | AT hutzenthalermartin numericalapproximationsofstochasticdifferentialequationswithnongloballylipschitzcontinuouscoefficients AT jentzenarnulf numericalapproximationsofstochasticdifferentialequationswithnongloballylipschitzcontinuouscoefficients |