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Strong First Order S-ROCK Methods for Stochastic Differential Equations
http://hdl.handle.net/10228/5260
http://hdl.handle.net/10228/526028425633-28fb-4fa5-aae9-e4f24bcf3e68
名前 / ファイル | ライセンス | アクション |
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csse-39.pdf (11.4 MB)
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Item type | テクニカルレポート = Technical Report(1) | |||||||||||
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公開日 | 2014-06-16 | |||||||||||
資源タイプ | ||||||||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||
資源タイプ | technical report | |||||||||||
タイトル | ||||||||||||
言語 | en | |||||||||||
タイトル | Strong First Order S-ROCK Methods for 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 | Explicit stochastic Runge-Kutta (SRK) methods are constructed for non-commutative Ito and Stratonovich stochastic differential equations. Our aim is to derive explicit SRK schemes of strong order one, which are derivative free and which have large stability regions. In the present paper, this will be achieved by embedding Chebyshev methods for ordinary differential equations into SRK methods proposed by Rossler (2010). In order to check their convergence order, stability properties and computational efficiency, some numerical experiments will be performed. | |||||||||||
言語 | en | |||||||||||
備考 | ||||||||||||
内容記述タイプ | Other | |||||||||||
内容記述 | [Remark] The material in this report has been superseded by the following paper: Y. Komori and K. Burrage (2013), Strong first order S-ROCK methods for stochastic differential equations, Journal of Computational and Applied Mathematics, 242, 261-274. | |||||||||||
言語 | en | |||||||||||
書誌情報 |
en : Technical Report in Computer Science and Systems Engineering p. 1-16, 発行日 2012-01-13 |
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出版社 | ||||||||||||
言語 | ja | |||||||||||
出版者 | 九州工業大学 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | PISSN | |||||||||||
収録物識別子 | 1344-8803 | |||||||||||
出版タイプ | ||||||||||||
出版タイプ | VoR | |||||||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
テクニカルレポートNo. | ||||||||||||
CSSE-39 | ||||||||||||
異版である | ||||||||||||
関連タイプ | isVersionOf | |||||||||||
識別子タイプ | DOI | |||||||||||
関連識別子 | https://doi.org/10.1016/j.cam.2012.10.026 | |||||||||||
研究者情報 | ||||||||||||
https://hyokadb02.jimu.kyutech.ac.jp/html/241_ja.html | ||||||||||||
連携ID | ||||||||||||
4978 |