Stochastic Numerics for Mathematical Physics

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Publisher : Springer Nature
ISBN 13 : 3030820408
Total Pages : 754 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Stochastic Numerics for Mathematical Physics by : Grigori N. Milstein

Download or read book Stochastic Numerics for Mathematical Physics written by Grigori N. Milstein and published by Springer Nature. This book was released on 2021-12-03 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. The new topics, in particular, include mean-square and weak approximations in the case of nonglobally Lipschitz coefficients of Stochastic Differential Equations (SDEs) including the concept of rejecting trajectories; conditional probabilistic representations and their application to practical variance reduction using regression methods; multi-level Monte Carlo method; computing ergodic limits and additional classes of geometric integrators used in molecular dynamics; numerical methods for FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics. SDEs have many applications in the natural sciences and in finance. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce the solution of multi-dimensional problems for partial differential equations to the integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. Many special schemes for SDEs are presented. In the second part of the book numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear, are constructed. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, applied probability, physics, chemistry, and engineering as well as mathematical biology and financial mathematics.

Stochastic Numerics for Mathematical Physics

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Publisher : Springer
ISBN 13 : 9783662100646
Total Pages : 620 pages
Book Rating : 4.1/5 (6 download)

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Book Synopsis Stochastic Numerics for Mathematical Physics by : Grigori Noah Milstein

Download or read book Stochastic Numerics for Mathematical Physics written by Grigori Noah Milstein and published by Springer. This book was released on 2014-01-15 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Numerics for the Boltzmann Equation

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Publisher : Springer Science & Business Media
ISBN 13 : 3540276890
Total Pages : 266 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Stochastic Numerics for the Boltzmann Equation by : Sergej Rjasanow

Download or read book Stochastic Numerics for the Boltzmann Equation written by Sergej Rjasanow and published by Springer Science & Business Media. This book was released on 2005-11-04 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic numerical methods play an important role in large scale computations in the applied sciences. The first goal of this book is to give a mathematical description of classical direct simulation Monte Carlo (DSMC) procedures for rarefied gases, using the theory of Markov processes as a unifying framework. The second goal is a systematic treatment of an extension of DSMC, called stochastic weighted particle method. This method includes several new features, which are introduced for the purpose of variance reduction (rare event simulation). Rigorous convergence results as well as detailed numerical studies are presented.

Stochastic Analysis and Mathematical Physics

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Publisher : Springer Science & Business Media
ISBN 13 : 1461201276
Total Pages : 162 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Stochastic Analysis and Mathematical Physics by : A.B. Cruzeiro

Download or read book Stochastic Analysis and Mathematical Physics written by A.B. Cruzeiro and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume represents the outgrowth of an ongoing workshop on stochastic analysis held in Lisbon. The nine survey articles in the volume extend concepts from classical probability and stochastic processes to a number of areas of mathematical physics. It is a good reference text for researchers and advanced students in the fields of probability, stochastic processes, analysis, geometry, mathematical physics, and physics. Key topics covered include: nonlinear stochastic wave equations, completely positive maps, Mehler-type semigroups on Hilbert spaces, entropic projections, and many others.

Stochastic Numerical Methods

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Publisher : John Wiley & Sons
ISBN 13 : 3527683127
Total Pages : 518 pages
Book Rating : 4.5/5 (276 download)

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Book Synopsis Stochastic Numerical Methods by : Raúl Toral

Download or read book Stochastic Numerical Methods written by Raúl Toral and published by John Wiley & Sons. This book was released on 2014-06-26 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book aims at being rather general and is addressed at students of natural sciences (Physics, Chemistry, Mathematics, Biology, etc.) and Engineering, but also social sciences (Economy, Sociology, etc.) where some of the techniques have been used recently to numerically simulate different agent-based models. Examples included in the book range from phase-transitions and critical phenomena, including details of data analysis (extraction of critical exponents, finite-size effects, etc.), to population dynamics, interfacial growth, chemical reactions, etc. Program listings are integrated in the discussion of numerical algorithms to facilitate their understanding. From the contents: Review of Probability Concepts Monte Carlo Integration Generation of Uniform and Non-uniform Random Numbers: Non-correlated Values Dynamical Methods Applications to Statistical Mechanics Introduction to Stochastic Processes Numerical Simulation of Ordinary and Partial Stochastic Differential Equations Introduction to Master Equations Numerical Simulations of Master Equations Hybrid Monte Carlo Generation of n-Dimensional Correlated Gaussian Variables Collective Algorithms for Spin Systems Histogram Extrapolation Multicanonical Simulations

Stochastic Processes in Mathematical Physics and Engineering

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Publisher : American Mathematical Soc.
ISBN 13 : 0821813161
Total Pages : 328 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Stochastic Processes in Mathematical Physics and Engineering by : American Mathematical Society

Download or read book Stochastic Processes in Mathematical Physics and Engineering written by American Mathematical Society and published by American Mathematical Soc.. This book was released on 1964 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Analysis and Mathematical Physics

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Publisher : Springer Science & Business Media
ISBN 13 : 146121372X
Total Pages : 168 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Stochastic Analysis and Mathematical Physics by : Rolando Rebolledo

Download or read book Stochastic Analysis and Mathematical Physics written by Rolando Rebolledo and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seminar on Stochastic Analysis and Mathematical Physics started in 1984 at the Catholic University of Chile in Santiago and has been an on going research activity. Since 1995, the group has organized international workshops as a way of promoting a broader dialogue among experts in the areas of classical and quantum stochastic analysis, mathematical physics and physics. This volume, consisting primarily of contributions to the Third Inter national Workshop on Stochastic Analysis and Mathematical Physics (in Spanish ANESTOC), held in Santiago, Chile, in October 1998, focuses on an analysis of quantum dynamics and related problems in probability the ory. Various articles investigate quantum dynamical semigroups and new results on q-deformed oscillator algebras, while others examine the appli cation of classical stochastic processes in quantum modeling. As in previous workshops, the topic of quantum flows and semigroups occupied an important place. In her paper, R. Carbone uses a spectral type analysis to obtain exponential rates of convergence towards the equilibrium of a quantum dynamical semigroup in the £2 sense. The method is illus trated with a quantum extension of a classical birth and death process. Quantum extensions of classical Markov processes lead to subtle problems of domains. This is in particular illustrated by F. Fagnola, who presents a pathological example of a semigroup for which the largest * -subalgebra (of the von Neumann algebra of bounded linear operators of £2 (lR+, IC)), con tained in the domain of its infinitesimal generator, is not a-weakly dense.

Stochastic Methods for Boundary Value Problems

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Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110479451
Total Pages : 208 pages
Book Rating : 4.1/5 (14 download)

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Book Synopsis Stochastic Methods for Boundary Value Problems by : Karl K. Sabelfeld

Download or read book Stochastic Methods for Boundary Value Problems written by Karl K. Sabelfeld and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-09-26 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Nonstandard Methods in Stochastic Analysis and Mathematical Physics

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Publisher : Courier Dover Publications
ISBN 13 : 0486468992
Total Pages : 529 pages
Book Rating : 4.4/5 (864 download)

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Book Synopsis Nonstandard Methods in Stochastic Analysis and Mathematical Physics by : Sergio Albeverio

Download or read book Nonstandard Methods in Stochastic Analysis and Mathematical Physics written by Sergio Albeverio and published by Courier Dover Publications. This book was released on 2009-02-26 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two-part treatment begins with a self-contained introduction to the subject, followed by applications to stochastic analysis and mathematical physics. "A welcome addition." — Bulletin of the American Mathematical Society. 1986 edition.

Stochastic Analysis: A Series of Lectures

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Publisher : Birkhäuser
ISBN 13 : 3034809093
Total Pages : 402 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis Stochastic Analysis: A Series of Lectures by : Robert C. Dalang

Download or read book Stochastic Analysis: A Series of Lectures written by Robert C. Dalang and published by Birkhäuser. This book was released on 2015-07-28 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in thirteen refereed survey articles an overview of modern activity in stochastic analysis, written by leading international experts. The topics addressed include stochastic fluid dynamics and regularization by noise of deterministic dynamical systems; stochastic partial differential equations driven by Gaussian or Lévy noise, including the relationship between parabolic equations and particle systems, and wave equations in a geometric framework; Malliavin calculus and applications to stochastic numerics; stochastic integration in Banach spaces; porous media-type equations; stochastic deformations of classical mechanics and Feynman integrals and stochastic differential equations with reflection. The articles are based on short courses given at the Centre Interfacultaire Bernoulli of the Ecole Polytechnique Fédérale de Lausanne, Switzerland, from January to June 2012. They offer a valuable resource not only for specialists, but also for other researchers and Ph.D. students in the fields of stochastic analysis and mathematical physics. Contributors: S. Albeverio M. Arnaudon V. Bally V. Barbu H. Bessaih Z. Brzeźniak K. Burdzy A.B. Cruzeiro F. Flandoli A. Kohatsu-Higa S. Mazzucchi C. Mueller J. van Neerven M. Ondreját S. Peszat M. Veraar L. Weis J.-C. Zambrini

Stochastic Analysis and Mathematical Physics II

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Publisher : Springer Science & Business Media
ISBN 13 : 9783764369972
Total Pages : 184 pages
Book Rating : 4.3/5 (699 download)

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Book Synopsis Stochastic Analysis and Mathematical Physics II by : Rolando Rebolledo

Download or read book Stochastic Analysis and Mathematical Physics II written by Rolando Rebolledo and published by Springer Science & Business Media. This book was released on 2003 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seminar on Stochastic Analysis and Mathematical Physics of the Ca tholic University of Chile, started in Santiago in 1984, has being followed and enlarged since 1995 by a series of international workshops aimed at pro moting a wide-spectrum dialogue between experts on the fields of classical and quantum stochastic analysis, mathematical physics, and physics. This volume collects most of the contributions to the Fourth Interna tional Workshop on Stochastic Analysis and Mathematical Physics (whose Spanish abbreviation is "ANESTOC"; in English, "STAMP"), held in San tiago, Chile, from January 5 to 11, 2000. The workshop style stimulated a vivid exchange of ideas which finally led to a number of written con tributions which I am glad to introduce here. However, we are currently submitted to a sort of invasion of proceedings books, and we do not want to increase our own shelves with a new one of the like. On the other hand, the editors of conference proceedings have to use different exhausting and com pulsive strategies to persuade authors to write and provide texts in time, a task which terrifies us. As a result, this volume is aimed at smoothly start ing a new kind of publication. What we would like to have is a collection of books organized like our seminar.

Nonlinear Stochastic Systems In Physics And Mechanics

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Publisher : World Scientific
ISBN 13 : 9813104295
Total Pages : 260 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Nonlinear Stochastic Systems In Physics And Mechanics by : Bellomo Nicola

Download or read book Nonlinear Stochastic Systems In Physics And Mechanics written by Bellomo Nicola and published by World Scientific. This book was released on 1987-03-01 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the conceptional line which goes from the observation of physical systems to their modeling and analysis by ordinary differential nonlinear stochastic equations.First, the problems of the mathematical modeling of physical systems are developed. These mathematical models are then classified in terms of ordinary differential stochastic equations from which both qualitative and quantitative results are developed.Each one of the various subjects are methods dealt with ends with an application in mathematical physics or in nonlinear mechanics.

New Trends In Stochastic Analysis And Related Topics: A Volume In Honour Of Professor K D Elworthy

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Publisher : World Scientific
ISBN 13 : 9814397091
Total Pages : 458 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis New Trends In Stochastic Analysis And Related Topics: A Volume In Honour Of Professor K D Elworthy by : Huaizhong Zhao

Download or read book New Trends In Stochastic Analysis And Related Topics: A Volume In Honour Of Professor K D Elworthy written by Huaizhong Zhao and published by World Scientific. This book was released on 2011-11-25 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.

Numerical Solution of Stochastic Differential Equations

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Publisher : Springer Science & Business Media
ISBN 13 : 3662126168
Total Pages : 666 pages
Book Rating : 4.6/5 (621 download)

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Book Synopsis Numerical Solution of Stochastic Differential Equations by : Peter E. Kloeden

Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Stochastic Analysis and Mathematical Physics

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Publisher : Birkhauser
ISBN 13 : 9783764342463
Total Pages : 158 pages
Book Rating : 4.3/5 (424 download)

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Book Synopsis Stochastic Analysis and Mathematical Physics by : Ana Bela Ferreira Cruzeiro

Download or read book Stochastic Analysis and Mathematical Physics written by Ana Bela Ferreira Cruzeiro and published by Birkhauser. This book was released on 2001 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Nonstandard Methods in Stochastic Analysis and Mathematical Physics

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Publisher :
ISBN 13 : 9780120488605
Total Pages : 0 pages
Book Rating : 4.4/5 (886 download)

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Book Synopsis Nonstandard Methods in Stochastic Analysis and Mathematical Physics by : Sergio Albeverio

Download or read book Nonstandard Methods in Stochastic Analysis and Mathematical Physics written by Sergio Albeverio and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Methods for Boundary Value Problems

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Publisher :
ISBN 13 : 9783110479461
Total Pages : pages
Book Rating : 4.4/5 (794 download)

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Book Synopsis Stochastic Methods for Boundary Value Problems by : Karl K. Sabel'fel'd

Download or read book Stochastic Methods for Boundary Value Problems written by Karl K. Sabel'fel'd and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: