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Strong first order S-ROCK methods for stochastic differential equations
http://hdl.handle.net/10228/5878
http://hdl.handle.net/10228/5878c6965f28-8f15-4acf-a5a3-9ab0ffff269b
名前 / ファイル | ライセンス | アクション |
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JCAP242_261.pdf (19.9 MB)
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Item type | 学術雑誌論文 = Journal Article(1) | |||||||||||
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公開日 | 2016-11-09 | |||||||||||
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 | 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 Itô and Stratonovich stochastic differential equations. Our aim is to derive explicit SRK schemes of strong order one, which are derivative free and have large stability regions. In the present paper, this will be achieved by embedding Chebyshev methods for ordinary differential equations in SRK methods proposed by Rößler (2010). In order to check their convergence order, stability properties and computational efficiency, some numerical experiments will be performed. | |||||||||||
書誌情報 |
Journal of Computational and Applied Mathematics 巻 242, p. 261-274, 発行日 2012-11-01 |
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出版社 | ||||||||||||
出版者 | Elsevier | |||||||||||
DOI | ||||||||||||
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 | |||||||||||
NCID | ||||||||||||
収録物識別子タイプ | NCID | |||||||||||
収録物識別子 | AA11531660 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 0377-0427 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 1879-1778 | |||||||||||
著作権関連情報 | ||||||||||||
権利情報 | Copyright (c) 2012 Elsevier B.V. All rights reserved. | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | Explicit metho | |||||||||||
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 | Stochastic orthogonal Runge–Kutta Chebyshev method | |||||||||||
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 | ||||||||||||
5729 | ||||||||||||
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 | ||||||||||||
著者所属 | ||||||||||||
Department of Computer Science, University of Oxford, Wolfson Building, Discipline of Mathematics, Queensland University of Technology |