Split S-ROCK methods for high-dimensional stochastic differential equations
From MaRDI portal
Publication:6087819
DOI10.1007/s10915-023-02354-8OpenAlexW4388022943MaRDI QIDQ6087819
Publication date: 16 November 2023
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-023-02354-8
stiffnessItô stochastic differential equationexplicit methodnoncommutative noiseorthogonal Runge-Kutta-Chebyshev methodweak second order approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mean-square stability analysis of numerical schemes for stochastic differential systems
- Weak second order S-ROCK methods for Stratonovich stochastic differential equations
- Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
- On the numerical discretisation of stochastic oscillators
- A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
- S-ROCK methods for stiff Itô SDEs
- Runge-Kutta Lawson schemes for stochastic differential equations
- Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
- A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
- Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
- Exponential integrators
- Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations
- A New Scaling and Squaring Algorithm for the Matrix Exponential
- S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
- Weak Approximation of Solutions of Systems of Stochastic Differential Equations
- On the Internal Stability of Explicit,m-Stage Runge-Kutta Methods for Largem-Values
- Mersenne twister
- Expokit
- Exponential Integrators for Large Systems of Differential Equations
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
- Multidimensional Stochastic Burgers Equation
- Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems
- A new class of exponential integrators for SDEs with multiplicative noise
- Second order Chebyshev methods based on orthogonal polynomials
- Numerical solution of kinetic SPDEs via stochastic Magnus expansion
