Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations. (Record no. 7635)
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| fixed length control field | 04450nam a22004693i 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC5633666 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240724113523.0 |
| 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 | 240724s2019 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781470449193 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781470431815 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC5633666 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL5633666 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)1083467362 |
| 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 .B687 2018 |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.2 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Bou-Rabee, Nawaf. |
| 245 10 - TITLE STATEMENT | |
| Title | Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations. |
| 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 | 2019. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2018. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (136 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 Series ; |
| Volume/sequential designation | v.256 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Cover -- Title page -- Chapter 1. Introduction -- 1.1. Motivation -- 1.2. Main Results -- 1.3. Relation to Other Works -- 1.4. Organization of Paper -- 1.5. Acknowledgements -- Chapter 2. Algorithms -- 2.1. Realizability Condition -- 2.2. Gridded vs Gridless State Spaces -- 2.3. Realizable Discretizations in 1D -- 2.4. Realizable Discretizations in 2D -- 2.5. Realizable Discretizations in nD -- 2.6. Scaling of Approximation with System Size -- 2.7. Generalization of Realizable Discretizations in nD -- 2.8. Weakly Diagonally Dominant Case -- Chapter 3. Examples & -- Applications -- 3.1. Introduction -- 3.2. Cubic Oscillator in 1D with Additive Noise -- 3.3. Asymptotic Analysis of Mean Holding Time -- 3.4. Adaptive Mesh Refinement in 1D -- 3.5. Log-normal Process in 1D with Multiplicative Noise -- 3.6. Cox-Ingersoll-Ross Process in 1D with Multiplicative Noise -- 3.7. SDEs in 2D with Additive Noise -- 3.8. Adaptive Mesh Refinement in 2D -- 3.9. Log-normal Process in 2D with Multiplicative Noise -- 3.10. Lotka-Volterra Process in 2D with Multiplicative Noise -- 3.11. Colloidal Cluster in 39D with Multiplicative Noise -- Chapter 4. Analysis on Gridded State Spaces -- 4.1. Assumptions -- 4.2. Stability by Stochastic Lyapunov Function -- 4.3. Properties of Realizations -- 4.4. Generator Accuracy -- 4.5. Global Error Analysis -- Chapter 5. Analysis on Gridless State Spaces -- 5.1. A Random Walk in a Random Environment -- 5.2. Generator Accuracy -- 5.3. Stability by Stochastic Lyapunov Function -- 5.4. Finite-Time Accuracy -- 5.5. Feller Property -- 5.6. Stationary Distribution Accuracy -- Chapter 6. Tridiagonal Case -- 6.1. Invariant Density -- 6.2. Stationary Density Accuracy -- 6.3. Exit Probability -- 6.4. Mean First Passage Time -- Chapter 7. Conclusion and Outlook -- Bibliography -- Back Cover. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs. |
| 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-Numerical solutions. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Random walks (Mathematics). |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Vanden-Eijnden, Eric. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Bou-Rabee, Nawaf |
| Title | Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations |
| Place, publisher, and date of publication | Providence : American Mathematical Society,c2019 |
| International Standard Book Number | 9781470431815 |
| 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 Series |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=5633666">https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=5633666</a> |
| Public note | Click to View |
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