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Weak Order Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations with a Scalar Wiener Process
http://hdl.handle.net/10228/1088
http://hdl.handle.net/10228/108844e2c913-4305-4bfe-8ca9-25509081c0c1
名前 / ファイル | ライセンス | アクション |
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csse-26.pdf (181.5 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 | 2008-06-05 | |||||||||||
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 Order Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations with a Scalar Wiener Process | |||||||||||
言語 | ||||||||||||
言語 | eng | |||||||||||
著者 |
小守, 良雄
× 小守, 良雄
WEKO
3142
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抄録 | ||||||||||||
内容記述タイプ | Abstract | |||||||||||
内容記述 | New implicit stochastic Runge-Kutta schemes of weak order 1 or 2 are proposed for stochastic differential equations with a scalar Wiener process, which are derivativefree, which attain order 2 or 4 for ordinary differential equations, and which are A-stable in mean square for a linear test equation in some general settings. They are sought in a transparent way and their convergence order and stability properties are confirmed in numerical experiments. | |||||||||||
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内容記述 | [Remark] The material in this report has been superseded by the following paper: Y. Komori (2008), Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process, Journal of Computational and Applied Mathematics, 217 (1), 166-179. | |||||||||||
言語 | en | |||||||||||
書誌情報 |
en : Technical Report in Computer Science and Systems Engineering 発行日 2006-08-29 |
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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-26 | ||||||||||||
関係URI | ||||||||||||
関連名称 | http://hdl.handle.net/10228/446 | |||||||||||
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.2007.06.024 | |||||||||||
研究者情報 | ||||||||||||
https://hyokadb02.jimu.kyutech.ac.jp/html/241_ja.html |