Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations

DOI10.1137/060677148MaRDI QIDQ3578046zbMATH OpenOpenAlexWikidataFDO

Authors Kevin Burrage, Grant Lythe

Publication date 13 July 2010

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://espace.library.uq.edu.au/view/UQ:183633/UQ183633_OA.pdf

zbMATH Keywords

damped harmonic oscillators with noiseleapfrog methodsstationary distributionstochastic Runge-Kutta methods

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Numerical approximation of stationary distributions for stochastic partial differential equations
• Numerical approximations to the stationary solutions of stochastic differential equations
• Stationary in distributions of numerical solutions for stochastic partial differential equations with Markovian switching
• The numerical approximation of stochastic partial differential equations
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Particle approximations for a class of stochastic partial differential equations
• Numerical method for stationary distribution of stochastic differential equations with Markovian switching
• Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
• Numerical methods for stochastic partial differential equations with multiple scales

Cited in

(16)

• General order conditions for stochastic partitioned Runge-Kutta methods
• Numerical preservation of long-term dynamics by stochastic two-step methods
• Filon quadrature for stochastic oscillators driven by time-varying forces
• A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
• Improved \(\vartheta\)-methods for stochastic Volterra integral equations
• On the numerical structure preservation of nonlinear damped stochastic oscillators
• Two-step Runge-Kutta methods for stochastic differential equations
• Long-term analysis of stochastic -methods for damped stochastic oscillators
• Stability issues for selected stochastic evolutionary problems: a review
• Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
• Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Fractional Euler limits and their applications
• Numerical Methods for Second‐Order Stochastic Differential Equations
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• Stochastic conformal symplectic exponential Runge-Kutta-Nyström integrators for solving damped second-order SDEs with applications in damped stochastic nonlinear wave equations

This page was built for publication: Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3578046)