Efficient numerical computations for solving high-dimensional stochastic differential equations

DOI10.1016/J.CAM.2025.117043MaRDI QIDQ6909926zbMATH OpenFDO

Authors Yoshio Komori, Kevin Burrage

Publication date 29 October 2025

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2025.117043

zbMATH Keywords

exponential integratororthogonal Runge-Kutta-Chebyshev methodstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical computation of matrix exponential and similar matrix functions (65F60)

Cites work

• A \(\mu\)-mode BLAS approach for multidimensional tensor-structured problems
• A Multilinear Singular Value Decomposition
• A Note on Kronecker Matrix Products and Matrix Equation Systems
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Existence and uniqueness results for semilinear stochastic partial differential equations
• Global well-posedness of 2D stochastic Burgers equations with multiplicative noise
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
• Multidimensional stochastic Burgers equation
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations

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