This book deals with numerical analysis of systems of both ordinary andstochastic differential equations.
The first chapter is devoted tonumerical solution problems of the Cauchy problem for stiff ordinarydifferential equation (ODE) systems by Rosenbrock-type methods (RTMs).Here, general solutions of consistency equations are obtained, whichlead to the construction of RTMs from the first to the fourth order.
The second chapter deals with statistical simulation problems of thesolution of the Cauchy problem for stochastic differential equation(SDE) systems. The mean-square convergence theorem is considered, aswell as Taylor expansions of numerical solutions. Also included areapplications of numerical methods of SDE solutions to partialdifferential equations and to analysis and synthesis problems ofautomated control of stochastic systems.
This book will be of value andinterest to specialists in the fields of computational mathematics andphysics, probability theory and automated control theory.
1997; viii+176 pages ISBN 90-6764-250-9 Price (all prices are subject to change without notice): EUR 131/US$ 187
