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Weak second order explicit exponential Runge-Kutta methods for stochastic differential equations
http://hdl.handle.net/10228/00006467
http://hdl.handle.net/10228/0000646750d4b232-eae1-4834-bae0-ab2c9f720e03
名前 / ファイル | ライセンス | アクション |
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csse-44.pdf (588.0 kB)
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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 | 2017-12-20 | |||||||||||
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 | Weak second order explicit exponential Runge-Kutta methods for stochastic differential equations | |||||||||||
言語 | ||||||||||||
言語 | eng | |||||||||||
著者 |
小守, 良雄
× 小守, 良雄
WEKO
3142
× Cohen, David× Burrage, Kevin |
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抄録 | ||||||||||||
内容記述タイプ | Abstract | |||||||||||
内容記述 | We propose new explicit exponential Runge-Kutta methods for the weak approximation of solutions of stiff Ito stochastic differential equations (SDEs). These methods have weak order two for multi-dimensional, non-commutative SDEs with a semi- linear drift term, whereas they are of order two or three for semilinear ordinary differential equations. These methods are A-stable in the mean square sense for a scalar linear test equation whose drift and diffusion terms have complex coefficients. We perform numerical experiments to compare the performance of these methods with an existing explicit stabilized method of weak order two. | |||||||||||
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内容記述 | [Remark] The material in this report has been superseded by the following paper: Y. Komori, D. Cohen and K. Burrage (2017), Weak second order explicit exponential Runge-Kutta methods for stochastic differential equations, SIAM Journal on Scientific Computing, 39 (6), A2857-A2878. | |||||||||||
言語 | en | |||||||||||
書誌情報 |
en : Technical Report in Computer Science and Systems Engineering p. 1-21, 発行日 2015-09-08 |
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言語 | ja | |||||||||||
出版者 | 九州工業大学 | |||||||||||
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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-44 | ||||||||||||
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/10.1137/15M1041341 | |||||||||||
研究者情報 | ||||||||||||
https://hyokadb02.jimu.kyutech.ac.jp/html/241_ja.html | ||||||||||||
連携ID | ||||||||||||
6452 |