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Weak second order explicit exponential Runge-Kutta methods for stochastic differential equations
http://hdl.handle.net/10228/00006768
http://hdl.handle.net/10228/00006768bd4120c0-1a6d-4c88-995e-950217ca0578
名前 / ファイル | ライセンス | アクション |
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10310306.pdf (1.5 MB)
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Item type | 学術雑誌論文 = Journal Article(1) | |||||||||||
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公開日 | 2018-05-25 | |||||||||||
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 | 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 Itô stochastic differential equations (SDEs). We also consider the use of exponential Runge-Kutta methods in combination with splitting methods. These methods have weak order 2 for multidimensional, noncommutative SDEs with a semilinear drift term, whereas they are of order 2 or 3 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 carry out numerical experiments to compare the performance of these methods with an existing explicit stabilized method of weak order 2. | |||||||||||
書誌情報 |
SIAM Journal on Scientific Computing 巻 39, 号 6, p. A2857-A2878, 発行日 2017-12-12 |
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出版社 | ||||||||||||
出版者 | Society for Industrial and Applied Mathematics | |||||||||||
DOI | ||||||||||||
関連タイプ | isVersionOf | |||||||||||
識別子タイプ | DOI | |||||||||||
関連識別子 | https://doi.org/10.1137/15M1041341 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 1064-8275 | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | ISSN | |||||||||||
収録物識別子 | 1095-7197 | |||||||||||
著作権関連情報 | ||||||||||||
権利情報 | Copyright (c) 2017, Society for Industrial and Applied Mathematics | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | explicit method | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | exponential integrator | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | splitting method | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | stiffness | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | noncommutative noise | |||||||||||
キーワード | ||||||||||||
主題Scheme | Other | |||||||||||
主題 | Itô stochastic differential equation | |||||||||||
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 | ||||||||||||
論文ID(連携) | ||||||||||||
10310306 | ||||||||||||
連携ID | ||||||||||||
7028 | ||||||||||||
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 | Cohen, D. | |||||||||||
著者別名 | ||||||||||||
姓名 | Burrage, K. |