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Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
http://hdl.handle.net/10228/5874
http://hdl.handle.net/10228/58740c1f10fe-59b3-41cd-ac90-42a27ae3932c
名前 / ファイル | ライセンス | アクション |
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BNM53_617.pdf (1.7 MB)
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Item type | 学術雑誌論文 = Journal Article(1) | |||||||||||
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公開日 | 2016-11-04 | |||||||||||
資源タイプ | ||||||||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||||
資源タイプ | journal article | |||||||||||
タイトル | ||||||||||||
タイトル | Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations | |||||||||||
言語 | ||||||||||||
言語 | eng | |||||||||||
著者 |
小守, 良雄
× 小守, 良雄
WEKO
3142
× Buckwar, Evelyn |
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抄録 | ||||||||||||
内容記述タイプ | Abstract | |||||||||||
内容記述 | stochastic Runge-Kutta (SRK) methods for non-commutative stochastic differential equations (SDEs). As a result, we have obtained weak second order SRK methods which have good properties with respect to not only practical errors but also mean square stability. In our stability analysis, as well as a scalar test equation with complex-valued parameters, we have used a multi-dimensional non-commutative test SDE. The performance of our new schemes will be shown through comparisons with an efficient and optimal weak second order scheme proposed by Debrabant and Rößler (Appl. Numer. Math. 59:582–594, 2009). | |||||||||||
書誌情報 |
BIT Numerical Mathematics 巻 53, 号 3, p. 617-639, 発行日 2013-01-19 |
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出版社 | ||||||||||||
出版者 | Springer | |||||||||||
DOI | ||||||||||||
関連タイプ | isVersionOf | |||||||||||
識別子タイプ | DOI | |||||||||||
関連識別子 | https://doi.org/10.1007/s10543-013-0419-3 | |||||||||||
NCID | ||||||||||||
収録物識別子タイプ | NCID | |||||||||||
収録物識別子 | AA11114845 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 0006-3835 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 1572-9125 | |||||||||||
著作権関連情報 | ||||||||||||
権利情報 | This is a post-peer-review, pre-copyedit version of an article published in BIT Numerical Mathematics. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10543-013-0419-3”. | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | Weak second order | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | Explicit method | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | Itô stochastic differential equation | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | Mean square stability | |||||||||||
出版タイプ | ||||||||||||
出版タイプ | AM | |||||||||||
出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||||
査読の有無 | ||||||||||||
値 | yes | |||||||||||
研究者情報 | ||||||||||||
https://hyokadb02.jimu.kyutech.ac.jp/html/241_ja.html | ||||||||||||
連携ID | ||||||||||||
5726 | ||||||||||||
資料タイプ | ||||||||||||
内容記述タイプ | Other | |||||||||||
内容記述 | Journal Article | |||||||||||
著者別名 | ||||||||||||
姓名 | Komori, Yoshio | |||||||||||
言語 | en | |||||||||||
姓名 | 小守, 良雄 | |||||||||||
言語 | ja | |||||||||||
姓名 | コモリ, ヨシオ | |||||||||||
言語 | ja-Kana | |||||||||||
著者別名 | ||||||||||||
姓名 | Buckwar, E. | |||||||||||
著者所属 | ||||||||||||
Department of Systems Design and InformaticsKyushu Institute of Technology | ||||||||||||
著者所属 | ||||||||||||
Institute for StochasticsJohannes Kepler University Linz |