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High order explicit exponential Runge-Kutta methods for the weak approximation of solutions of stochastic differential equations
http://hdl.handle.net/10228/00006466
http://hdl.handle.net/10228/0000646634c774cf-469d-40a1-b5ec-2a5eed445405
| 名前 / ファイル | ライセンス | アクション |
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csse-41.pdf (407.9 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 | ||||||||||||||||||
| タイトル | High order explicit exponential Runge-Kutta methods for the weak approximation of solutions of stochastic differential equations | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| 言語 | ||||||||||||||||||
| 言語 | eng | |||||||||||||||||
| 著者 |
小守, 良雄
× 小守, 良雄
× Cohen, David
× Burrage, Kevin
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| 抄録 | ||||||||||||||||||
| 内容記述タイプ | Abstract | |||||||||||||||||
| 内容記述 | We are concerned with numerical methods which give weak approximations for stiff Ito stochastic differential equations (SDEs). It is well known that the numerical solution of stiff SDEs leads to a stepsize reduction when explicit methods are used. However, there are some classes of explicit methods that are well suited to solving some types of stiff SDEs. One such class is the class of stochastic orthogonal Runge-Kutta Chebyshev (SROCK) methods. SROCK methods reduce to Runge-Kutta Chebyshev methods when applied to ordinary differential equations (ODEs). Another promising class of methods is the class of explicit methods that reduce to explicit exponential Runge-Kutta (RK) methods when applied to semilinear ODEs. In this paper, we will propose new exponential RK methods which achieve weak order one or two for multi-dimensional, non-commutative SDEs with a semilinear drift term, whereas they are of order one, two or three for semilinear ODEs. We will analytically investigate their stability properties in mean square, and will check their performance in numerical examples. | |||||||||||||||||
| 言語 | en | |||||||||||||||||
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| 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), 2857-A2878. | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| 書誌情報 |
en : Technical Report in Computer Science and Systems Engineering p. 1-24, 発行日 2014-09-19 |
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| 出版社 | ||||||||||||||||||
| 出版者 | 九州工業大学 | |||||||||||||||||
| 言語 | ja | |||||||||||||||||
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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-41 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 6450 | ||||||||||||||||||
