Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations

DOI10.1016/J.PHYSLETA.2005.01.064MaRDI QIDQ2478751zbMATH OpenOpenAlexFDO

Authors Joshua Wilkie, Murat Çetinbaş

Publication date 25 March 2008

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2005.01.064

zbMATH Keywords

diffusionstochasticnumericalstatequantum

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) Closed and approximate solutions to the Schrödinger, Dirac, Klein-Gordon and other equations of quantum mechanics (81Q05)

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Cites work

• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• A family of embedded Runge-Kutta formulae
• Adaptive schemes for the numerical solution of SDEs -- a comparison
• An adaptive timestepping algorithm for stochastic differential equations.
• Computer simulations of multiplicative stochastic differential equations
• Exact norm-conserving stochastic time-dependent Hartree–Fock
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Optimized explicit Runge-Kutta pair of orders \(9(8)\)
• Solving Ordinary Differential Equations I
• The quantum-state diffusion model applied to open systems
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

Cited in

(6)

• Functional Wigner representation of quantum dynamics of Bose-Einstein condensate
• An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
• On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
• Symplectic Runge-Kutta semidiscretization for stochastic Schrödinger equation
• Numerical integration methods for stochastic wave function equations
• Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options

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