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The Laboratory of numerical analysis of stochastic differential equations

 

The Stochastic dynamic systems described by stochastic differential equation systems, appear in the most different areas of science, technology, finance, at the description of phenomenas of nature. Modern models of climate,prices share and futures contracts, radiosignals, models of dinamic immune diseasies, models of moving flying machines - all include random fluctuations. They are redused to deciding a problem Cauchy for systems SDE. Since analytical study of deciding the nonlinear systems SDE solely difficult, the real analysis facility is a method MONTE-CARLO. Primary task a labs. is an efficient statistical algorithm development for simulating dinamic of stochastic different systems.

 

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