Split S-ROCK methods for high-dimensional stochastic differential equations

DOI10.1007/S10915-023-02354-8MaRDI QIDQ6087819zbMATH OpenOpenAlexFDO

Authors Yoshio Komori, Kevin Burrage

Publication date 16 November 2023

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10915-023-02354-8

zbMATH Keywords

explicit methodItô stochastic differential equationnoncommutative noiseorthogonal Runge-Kutta-Chebyshev methodstiffnessweak second order approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cited in

(2)

• New S-ROCK methods for stochastic differential equations with commutative noise
• Efficient numerical computations for solving high-dimensional stochastic differential equations

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