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Aufsatz / Paper in SCI-Expanded-Zeitschrift

Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations.

Buckwar E., Komori Y.: Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations., in: BIT. Numerical Mathematics, Volume 53, Number 3, 2013.

BibTeX

@ARTICLE{
title = {Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations.},
type = {Aufsatz / Paper in SCI-Expanded-Zeitschrift},
author = {Buckwar, Evelyn and Komori, Yoshio},
language = {EN},
abstract = {We consider embedding deterministic Runge-Kutta methods with high order into weak order stochastic Runge-Kutta (SRK) methods for non-commutative stochastic differential equations (SDEs). As a result, we have obtained weak second order SRK methods which have good properties with respect to not only practical errors but also mean square stability. In our stability analysis, as well as a scalar test equation with complex-valued parameters, we have used a multi-dimensional non-commutative test SDE. The performance of our new schemes will be shown through comparisons with an efficient and optimal weak second order scheme proposed by Debrabant and Rößler (Appl. Numer. Math. 59:582–594, 2009).},
publisher = {Springer},
journal = {BIT. Numerical Mathematics},
volume = {53},
number = {3},
issn = {0006-3835},
year = {2013},
}

Details

Zusammenfassung: We consider embedding deterministic Runge-Kutta methods with high order into weak order stochastic Runge-Kutta (SRK) methods for non-commutative stochastic differential equations (SDEs). As a result, we have obtained weak second order SRK methods which have good properties with respect to not only practical errors but also mean square stability. In our stability analysis, as well as a scalar test equation with complex-valued parameters, we have used a multi-dimensional non-commutative test SDE. The performance of our new schemes will be shown through comparisons with an efficient and optimal weak second order scheme proposed by Debrabant and Rößler (Appl. Numer. Math. 59:582–594, 2009).

Journal: BIT. Numerical Mathematics
Volume: 53
Nummer: 3
Erscheinungsjahr: 2013
Anzahl Seiten: 22
Verlag: Springer
ISSN: 0006-3835
Reichweite: International

Beteiligte

AutorInnen / HerausgeberInnen: Univ.-Prof. Dr. Evelyn Buckwar, Dr. Yoshio Komori

Forschungseinheiten der JKU:

Wissenschaftszweige: 1103 Analysis | 1114 Numerische Mathematik | 1118 Wahrscheinlichkeitstheorie | 1165 Stochastik

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