Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients. (Record no. 124835)
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| fixed length control field | 03868nam a22004693i 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC4832007 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240729131156.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240724s2015 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781470422783 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781470409845 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC4832007 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL4832007 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaPaEBR)ebr11367292 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)910951156 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA274.23.H889 2015 |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.20000000000005 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hutzenthaler, Martin. |
| 245 10 - TITLE STATEMENT | |
| Title | Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Providence : |
| Name of producer, publisher, distributor, manufacturer | American Mathematical Society, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2015. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2015. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (112 pages) |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Memoirs of the American Mathematical Society ; |
| Volume/sequential designation | v.236 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Cover -- Title page -- Chapter 1. Introduction -- 1.1. Notation -- Chapter 2. Integrability properties of approximation processes for SDEs -- 2.1. General discrete-time stochastic processes -- 2.2. Explicit approximation schemes -- 2.3. Implicit approximation schemes -- Chapter 3. Convergence properties of approximation processes for SDEs -- 3.1. Setting and assumptions -- 3.2. Consistency -- 3.3. Convergence in probability -- 3.4. Strong convergence -- 3.5. Weak convergence -- 3.6. Numerical schemes for SDEs -- Chapter 4. Examples of SDEs -- 4.1. Setting and assumptions -- 4.2. Stochastic van der Pol oscillator -- 4.3. Stochastic Duffing-van der Pol oscillator -- 4.4. Stochastic Lorenz equation -- 4.5. Stochastic Brusselator in the well-stirred case -- 4.6. Stochastic SIR model -- 4.7. Experimental psychology model -- 4.8. Scalar stochastic Ginzburg-Landau equation -- 4.9. Stochastic Lotka-Volterra equations -- 4.10. Volatility processes -- 4.11. Overdamped Langevin equation -- Bibliography -- Back Cover. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge for these SDEs in finite time. This article develops a general theory based on rare events for studying integrability properties such as moment bounds for discrete-time stochastic processes. Using this approach, the authors establish moment bounds for fully and partially drift-implicit Euler methods and for a class of new explicit approximation methods which require only a few more arithmetical operations than the Euler-Maruyama method. These moment bounds are then used to prove strong convergence of the proposed schemes. Finally, the authors illustrate their results for several SDEs from finance, physics, biology and chemistry. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) | |
| Local note | Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Stochastic differential equations. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Jentzen, Arnulf. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Hutzenthaler, Martin |
| Title | Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients |
| Place, publisher, and date of publication | Providence : American Mathematical Society,c2015 |
| International Standard Book Number | 9781470409845 |
| 797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN) | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Memoirs of the American Mathematical Society |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4832007">https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4832007</a> |
| Public note | Click to View |
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