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Continuous-time random walks for the numerical solution of stochastic differential equations / Nawaf Bou-Rabee, Eric Vanden-Eijnden.
Math/Physics/Astronomy Library QA3 .A57 no.1228
Available
LIBRA QA3 .A57 no.1-no.154, no.156-no.228, no.230-no.236, no.238-no.289, no.291-no.312, no.314-no.334, no.336-no.338
Available from offsite location
Math/Physics/Astronomy Library QA3 .A57 no.313 (1984),no.335 (1985),no.339 (1986)-no.599 (1997) no.605 (1997)-no.860 (2006),no.865 (2006)-no.1243 (2019),no.1252 (2019)-no.1286 (2020),no.1288 (2020)-no.1385 (2022),no.1392 (2023)-no.1548 (2025),no.1554 (2025)-no.1620 (2026)
Mixed Availability
- Format:
- Book
- Author/Creator:
- Bou-Rabee, Nawaf, author.
- Vanden-Eijnden, Eric, 1968- author.
- Series:
- Memoirs of the American Mathematical Society ; 0065-9266 no. 1228.
- Memoirs of the American Mathematical Society, 0065-9266 ; number 1228
- Language:
- English
- Subjects (All):
- Stochastic differential equations--Numerical solutions.
- Stochastic differential equations.
- Random walks (Mathematics).
- Physical Description:
- v, 124 pages : illustrations ; 26 cm.
- Place of Publication:
- Providence, RI : American Mathematical Society, [2018]
- Contents:
- Introduction
- Algorithms
- Examples & applications
- Analysis on gridded state spaces
- Analysis on gridless state spaces
- Tridiagonal case
- Conclusion and outlook.
- Notes:
- "November 2018, volume 256, number 1228 (fourth of 6 numbers)."
- Includes bibliographical references.
- ISBN:
- 9781470431815
- 1470431815
- OCLC:
- 1048936517
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