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Multi-dimensional linear stability analysis of S-ROCK methods for Itô stochastic differential equations
http://hdl.handle.net/10228/00007999
http://hdl.handle.net/10228/00007999ad503330-cc48-4fa2-8def-1306f55ca706
名前 / ファイル | ライセンス | アクション |
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1.4756417.pdf (1.4 MB)
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Item type | 学術雑誌論文 = Journal Article(1) | |||||||||||
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公開日 | 2021-01-04 | |||||||||||
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 | Multi-dimensional linear stability analysis of S-ROCK methods for Itô stochastic differential equations | |||||||||||
言語 | ||||||||||||
言語 | eng | |||||||||||
著者 |
小守, 良雄
× 小守, 良雄
WEKO
3142
× Burrage, Kevin |
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抄録 | ||||||||||||
内容記述タイプ | Abstract | |||||||||||
内容記述 | In this paper, stochastic orthogonal Runge-Kutta Chebyshev methods are dealt with for strong approximations to solutions of Itô stochastic differential equations (SDEs). Recently, strong first order methods for non-commutative Itô SDEs have been proposed by the present authors. It is known that when the number of stages is large, the methods have very large stability domains in mean square (MS) for a scalar linear test equation. On the other hand, Buckwar and Sickenberger (2012) have recently proposed MS stability analyses for systems of Itô SDEs. Our aim is to investigate MS stability properties of these methods and other existing numerical schemes by their approach. | |||||||||||
備考 | ||||||||||||
内容記述タイプ | Other | |||||||||||
内容記述 | International Conference of Numerical Analysis and Applied Mathematics 2012 (ICNAAM-2012), 19–25 September, 2012, Kos, Greece | |||||||||||
書誌情報 |
AIP Conference Proceedings 巻 1479, p. 1391-1394, 発行日 2012-09-26 |
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出版社 | ||||||||||||
出版者 | AIP Publishing | |||||||||||
DOI | ||||||||||||
関連タイプ | isVersionOf | |||||||||||
識別子タイプ | DOI | |||||||||||
関連識別子 | https://doi.org/10.1063/1.4756417 | |||||||||||
ISBN | ||||||||||||
識別子タイプ | ISBN | |||||||||||
関連識別子 | 978-0-7354-1091-6 | |||||||||||
日本十進分類法 | ||||||||||||
主題Scheme | NDC | |||||||||||
主題 | 417 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 0094-243X | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 1551-7616 | |||||||||||
著作権関連情報 | ||||||||||||
権利情報 | This article may be downloaded for personal use only. Any other use requires prior permission of the author and AIP Publishing. This article appeared in https://doi.org/10.1063/1.4756417 and may be found at https://aip.scitation.org/doi/abs/10.1063/1.4756417. | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | stochastic orthogonal Runge-Kutta Chebyshev method | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | mean square stability | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | strong approximation | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | explicit scheme | |||||||||||
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 | ||||||||||||
論文ID(連携) | ||||||||||||
10360356 | ||||||||||||
連携ID | ||||||||||||
8518 | ||||||||||||
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 | Burrage, K. | |||||||||||
著者所属 | ||||||||||||
Department of Systems Design and Informatics, Kyushu Institute of Technology, 680-4 Kawazu, Iizuka, Fukuoka, Japan | ||||||||||||
著者所属 | ||||||||||||
Department of Computer Science, University of Oxford, Wolfson Building, Parks Road, Oxford, UK and Discipline of Mathematics, Queensland University of Technology, Brisbane, Australia |