Dmitriy Kuznetsov

Chislennoe Integrirovanie Stokhasticheskikh Differentsial'nykh Uravneniy Ito: S Programmami V Srede Matlab Dmitriy Kuznetsov Russian edition

Monografiya posvyashchena chislennomu integrirovaniyu stokhasticheskikh differentsial'nykh uravneniy (SDU) Ito. V knige, kak nigde polno i gluboko, osveshchena problema approksimatsii povtornykh stokhasticheskikh integralov Ito i Stratonovicha, primenitel'no k chislennomu integrirovaniyu SDU Ito. Monografiya soderzhit bol'shoy material po yavnym i neyavnym, odnoshagovym, dvukhshagovym i trekhshagovym, v tom chisle konechno-raznostnym (tipa Runge-Kutta), chislennym skhemam vysokikh poryadkov tochnosti dlya SDU Ito, osnovannym na stokhasticheskikh analogakh formuly Teylora (razlozheniya Teylora-Ito i Teylora-Stratonovicha). Chislennye metody, privedennye v knige, primeneny k chislennomu resheniyu raznoobraznykh matematicheskikh zadach, svyazannykh s SDU Ito (fil'tratsiya, stokhasticheskoe optimal'noe upravlenie, otsenivanie parametrov, stokhasticheskaya ustoychivost'). Privedeny polnye teksty komp'yuternykh programm v srede MATLAB. Kniga okazhetsya interesnoy spetsialistam po teorii sluchaynykh protsessov, prikladnoy i vychislitel'noy matematike, studentam starshikh kursov i aspirantam tekhnicheskikh vuzov i universitetov, programmistam.