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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In mathematics, some boundary value problems can be solved using the methods of stochastic analysis. Perhaps the most celebrated example is Shizuo Kakutani''s 1944 solution of the Dirichlet problem for the Laplace operator using Brownian motion. However, it turns out that for a large class of semi-elliptic second-order partial differential equations the associated Dirichlet boundary value problem can be solved using an It process that solves an associated stochastic differential equation.…mehr

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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In mathematics, some boundary value problems can be solved using the methods of stochastic analysis. Perhaps the most celebrated example is Shizuo Kakutani''s 1944 solution of the Dirichlet problem for the Laplace operator using Brownian motion. However, it turns out that for a large class of semi-elliptic second-order partial differential equations the associated Dirichlet boundary value problem can be solved using an It process that solves an associated stochastic differential equation.