Abstract
Using stochastic differential equations we can successfully model systems that function in the presence of random perturbations. Such systems are among the basic objects of modern control theory. However, the very importance acquired by stochastic differential equations lies, to a large extent, in the strong connections they have with the equations of mathematical physics. It is well known that problems in mathematical physics involve ‘damned dimensions’, often leading to severe difficulties in solving boundary value problems. A way out is provided by stochastic equations, the solutions of which often come about as characteristics.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 1995 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Milstein, G.N. (1995). Introduction. In: Numerical Integration of Stochastic Differential Equations. Mathematics and Its Applications, vol 313. Springer, Dordrecht. https://doi.org/10.1007/978-94-015-8455-5_1
Download citation
DOI: https://doi.org/10.1007/978-94-015-8455-5_1
Publisher Name: Springer, Dordrecht
Print ISBN: 978-90-481-4487-7
Online ISBN: 978-94-015-8455-5
eBook Packages: Springer Book Archive