Stochastic numerics for mathematical physics
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PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Computational methods in Markov chains (60J22) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Recommendations
- scientific article; zbMATH DE number 2114382
- scientific article; zbMATH DE number 711262
- scientific article; zbMATH DE number 54145
- Book presentation: D. F. Kuznetsov, Stochastic differential equations: theory and practice of numerical solution
- Numerical solution of SDE through computer experiments. Including floppy disk
Cited in
(43)- On the optimal control of a random walk with jumps and barriers
- A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
- Editorial. Foreword: Special issue on ``Stochastic differential equations, stochastic algorithms, and applications
- Stochastic ordinary differential equations in applied and computational mathematics
- Numerical solution of stochastic differential equations in finance
- Stochastic PDEs and modelling of multiscale complex system
- Stochastic methods for boundary value problems. Numerics for high-dimensional PDEs and applications
- scientific article; zbMATH DE number 218616 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- An introduction to the numerical simulation of stochastic differential equations
- An efficient approximation to the stochastic Allen-Cahn equation with random diffusion coefficient field and multiplicative noise
- Stochastic radioactive decay
- Consensus-based optimization via jump-diffusion stochastic differential equations
- Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
- High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
- Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
- Convergence order of one point large deviations rate functions for backward Euler method of stochastic delay differential equations with small noise
- Splitting integrators for linear Vlasov equations with stochastic perturbations
- Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions
- Adjoint-based calibration of nonlinear stochastic differential equations
- Stochastic conformal integrators for linearly damped stochastic Poisson systems
- Strong and weak convergence orders of numerical methods for SDEs driven by time-changed Lévy noise
- First- and half-order schemes for regime switching stochastic differential equation with non-differentiable drift coefficient
- Stochastic multisymplectic PDEs and their structure-preserving numerical methods
- Randomized Runge-Kutta-Nyström methods for unadjusted Hamiltonian and kinetic Langevin Monte Carlo
- Sampling and estimation on manifolds using the Langevin diffusion
- Antithetic multilevel methods for elliptic and hypoelliptic diffusions with applications
- Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications
- Improved weak convergence for the long time simulation of mean-field Langevin equations
- Sampling from mixture distributions based on regime-switching diffusions
- Unadjusted Hamiltonian MCMC with stratified Monte Carlo time integration
- Stochastic theta methods for random periodic solution of stochastic differential equations under non-globally Lipschitz conditions
- Strong convergence of adaptive time-stepping schemes for the stochastic Allen-Cahn equation
- Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions
- An explicit substructuring method for overlapping domain decomposition based on stochastic calculus
- Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis
- Numerical approximations to invariant measures of hybrid stochastic differential equations with superlinear coefficients via the backward Euler-Maruyama method
- On the application of explicit Runge-Kutta methods to the construction of stochastic gradient descent methods for convex optimization
- Comparison of stochastic and deterministic methods for calculate the option price
- Geometric ergodicity and strong error estimates for tamed schemes of super-linear SODEs
- Implementation of Milstein schemes for stochastic delay-differential equations with arbitrary fixed delays
- A class of stochastic Runge-Kutta methods for stochastic differential equations converging uniformly with order 1 in L^p-norm
- Stochastic theta methods for free stochastic differential equations
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