Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations

DOI10.1007/S40072-014-0032-8zbMATH Open1315.65007OpenAlexW2060421832WikidataQ59899202 ScholiaQ59899202MaRDI QIDQ487672FDOQ487672

Kevin Burrage, Grant Lythe

Publication date: 23 January 2015

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40072-014-0032-8

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zbMATH Keywords

stochastic partial differential equationsnumerical experimentcorrelation functionstochastic Runge-Kutta methodsleapfrog methodsstationary densitytime-stepping method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
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• Title not available (Why is that?)
• Stochastic PDEs: Convergence to the continuum?
• Numerical Methods for Second‐Order Stochastic Differential Equations
• Invariant measures of stochastic partial differential equations and conditioned diffusions
• High order numerical approximation of the invariant measure of ergodic SDEs
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• Sharp interface limit for invariant measures of a stochastic Allen-Cahn equation
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• Anomalous behavior of the Kramers rate at bifurcations in classical field theories
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• Numerical Stochastic Integration for Quasi-Symplectic Flows

Cited In (2)

• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• On the numerical structure preservation of nonlinear damped stochastic oscillators

Uses Software

• S-ROCK

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