Numerical solution of kinetic SPDEs via stochastic Magnus expansion

DOI10.1016/j.matcom.2022.12.029arXiv2207.09776OpenAlexW4313463266MaRDI QIDQ6102934

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci

Publication date: 26 June 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.09776

zbMATH Keywords

Magnus expansionGPU computingstochastic Langevin equationnumerical solutions for SPDE

Mathematics Subject Classification ID

Numerical analysis (65-XX) Probability theory and stochastic processes (60-XX)

Related Items (1)

Split S-ROCK methods for high-dimensional stochastic differential equations

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