Exponential Timestepping with Boundary Test for Stochastic Differential Equations

DOI10.1137/S1064827501399535MaRDI QIDQ4442137zbMATH OpenDBLPWikidataFDO

Authors Kalvis M. Jansons, G. D. Lythe

Publication date 20 January 2004

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S1064827501399535

zbMATH Keywords

a posteriori error estimatescomparison of methodsdiffusion with boundariesEuler methodnumerical experimentsnumerical methodsstochastic calculusstochastic differential equation

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)

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• Fast simulations of stochastic dynamical systems
• Probabilistically induced domain decomposition methods for elliptic boundary-value problems
• An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems
• A Stochastic Domain Decomposition Method for Time Dependent Mesh Generation
• Improved simulation techniques for first exit time of neural diffusion models
• scientific article; zbMATH DE number 883236 (Why is no real title available?)
• Multidimensional Exponential Timestepping with Boundary Test
• Efficient numerical solution of stochastic differential equations using exponential timestepping
• Efficient parallel solution of nonlinear parabolic partial differential equations by a probabilistic domain decomposition
• Higher-order adaptive methods for exit times of Itô diffusions
• Simulation of stopped diffusions
• Quiet direct simulation Monte-Carlo with random timesteps
• Simulation of diffusions by means of importance sampling paradigm

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