power series solution of differential equations example
Tài liệu Numerical Solution of Stochastic Differential Equations with Jumps in Finance pdf
Ngày tải lên :
19/02/2014, 22:20
... collection of events, sigma-algebra
A
filtration
E(X) expectation of X
E(X |A) conditional expectation of X under A
P (A) probability of A
P (A |B) probability of A conditioned on B
∈ element of
∈ ... continuous solutions of SDEs. The discrete time approximation of
SDEs with jumps represents the focus of the monograph. The reader learns
about powerful numerical methods for the solution of SDEs with ... discusses powerful martingale representations and
variance reduction techniques in the context of derivative pricing.
The book does not claim to be a complete account of the state of the
art of the...
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Tài liệu Integration of Ordinary Differential Equations part 1 doc
Ngày tải lên :
15/12/2013, 04:15
... Integration of Ordinary
Differential Equations
16.0 Introduction
Problems involving ordinary differential equations (ODEs) can always be
reduced to the study of sets of first-order differential equations. ... auxiliary variables.
The generic problem in ordinary differential equations is thus reduced to the
study of a set of N coupled first-order differential equations for the functions
y
i
,i=1,2, ,N, having ... 1973,
Computational Methods in Ordinary Differential Equations
(New York: Wiley).
Lapidus, L., and Seinfeld, J. 1971,
Numerical Solution of Ordinary Differential Equations
(New
York: Academic Press).
16.1...
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Tài liệu Integration of Ordinary Differential Equations part 2 pptx
Ngày tải lên :
15/12/2013, 04:15
... 1973,
Computational Methods in Ordinary Differential Equations
(New York: Wiley).
Lapidus, L., and Seinfeld, J. 1971,
Numerical Solution of Ordinary Differential Equations
(New
York: Academic Press).
16.1 ... 710
Chapter 16. Integration of Ordinary Differential Equations
Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)
Copyright ... (see Figure 16.1.1). That means (and you can verify
by expansion in power series) that the step’s error is only one power of h smaller
than the correction, i.e O(h
2
) added to (16.1.1).
There...
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Tài liệu Solution of Linear Algebraic Equations part 1 docx
Ngày tải lên :
15/12/2013, 04:15
... as many equations as unknowns, and there is a good
chance of solving for a unique solution set of x
j
’s. Analytically, there can fail to
be a unique solution if one or more of the M equations ... set of equationsto be solved can bewritten as the N ìN set of equations
(A
T
à A) à x =(A
T
Ãb)(2.0.4)
where A
T
denotes the transpose of the matrix A. Equations (2.0.4) are called the
normal equations ... columns
of the matrix inverse of A (Đ2.1 and Đ2.3).
ã Calculation of the determinant of a square matrix A (Đ2.3).
If M<N,orifM=Nbut the equations are degenerate, then there are
effectively fewer equations...
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Tài liệu Solution of Linear Algebraic Equations part 2 ppt
Ngày tải lên :
15/12/2013, 04:15
... of N ì N matrices, with M sets of right-hand
side vectors, in completely analogous fashion. The routine implemented below
is, of course, general.
38
Chapter 2. Solution of Linear Algebraic Equations
Sample ... rows of A and the corresponding rows of the b’s
and of 1, does not change (or scramble in any way) the solution x’s and
Y. Rather, it just corresponds to writing the same set of linear equations
in ... of this procedure, however, is
thatthechoice of pivotwilldepend on the originalscaling of the equations. If we take
the third linear equation in our original set and multiply it by a factor of...
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Tài liệu Solution of Linear Algebraic Equations part 11 ppt
Ngày tải lên :
15/12/2013, 04:15
... (2.10.4) of the algorithm is needed, so we separate it off into its own routine rsolv.
98
Chapter 2. Solution of Linear Algebraic Equations
Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC ... not used for typical systems of linear equations. However, we will
meet special cases where QR is the method of choice.
100
Chapter 2. Solution of Linear Algebraic Equations
Sample page from NUMERICAL ... America).
x[i]=sum/p[i];
}
}
A typicaluseof choldcand cholslis in theinversionof covariancematrices describing
the fit of data to a model; see, e.g., Đ15.6. In this, and many other applications,one often needs
L
−1
....
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Tài liệu Integration of Ordinary Differential Equations part 3 doc
Ngày tải lên :
24/12/2013, 12:16
... generally useful stepper
routine is this: One of the arguments of the routine will of course be the vector of
dependent variables at the beginning of a proposed step. Call that y[1 n].Let
us require ... ,n−1
y(x+H)≈y
n
≡
1
2
[z
n
+z
n−1
+hf(x + H, z
n
)]
(16.3.2)
714
Chapter 16. Integration of Ordinary Differential Equations
Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)
Copyright ... efficiency are not mere tens of percents or factors of two;
they can sometimes be factors of ten, a hundred, or more. Sometimes accuracy
may be demanded not directly in the solution itself, but in...
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Tài liệu Integration of Ordinary Differential Equations part 4 ppt
Ngày tải lên :
24/12/2013, 12:16
... 722
Chapter 16. Integration of Ordinary Differential Equations
Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)
Copyright ... usefulness ofthe modied midpointmethod tothe Bulirsch-Stoertechnique
(Đ16.4) derives from a deep result about equations (16.3.2), due to Gragg. It turns
out that the error of (16.3.2), expressed as a power ... power series in h, the stepsize, contains
only even powers of h,
y
n
− y(x + H)=
∞
i=1
α
i
h
2i
(16.3.3)
where H is held constant, but h changes by varying n in (16.3.1). The importance
of this...
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Tài liệu Integration of Ordinary Differential Equations part 5 pdf
Ngày tải lên :
24/12/2013, 12:16
... extrapolate each
component of a vector of quantities.
728
Chapter 16. Integration of Ordinary Differential Equations
Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN ... method
a degree of robustness for problems with discontinuities.
Let us remind you once again that scaling of the variables is often crucial for
successful integration of differential equations. The ... method does an excellent job of feeling its way through rocky or discontinuous
terrain. It is also an excellent choice for quick-and-dirty, low-accuracy solution
of a set of equations. A second warning...
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Tài liệu Integration of Ordinary Differential Equations part 6 pdf
Ngày tải lên :
24/12/2013, 12:16
... vol. 27, pp. 505–535.
16.6 Stiff Sets of Equations
As soon as one deals with more than one first-order differential equation, the
possibility of a stiff set of equations arises. Stiffness occurs ... Second-Order Conservative Equations
Usually when you have a system of high-order differential equations to solve it is best
to reformulate them as a system of rst-order equations, as discussed ... compatibility with bsstep the arrays y and d2y are of length 2n for a
system of n second-order equations. The values of y arestoredinthefirstnelements of y,
while the first derivatives are stored in...
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