The local linearization method for numerical integration of random differential equations

DOI10.1007/S10543-005-2645-9MaRDI QIDQ2568632zbMATH OpenOpenAlexFDO

Authors Felix Carbonell, Juan Carlos Jimenez, Rolando Biscay, Hugo de la Cruz

Publication date 18 October 2005

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-005-2645-9

zbMATH Keywords

local linearizationnumerical integrationrandom differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Random operators and equations (aspects of stochastic analysis) (60H25) Numerical solutions to stochastic differential and integral equations (65C30) Numerical optimization and variational techniques (65K10) Linearizations (93B18)

Review text

The authors consider a local linearization method for the numerical integration of random differential equations. The method is adapted to equations that are defined by vector fields that are typically at most Hölder continuous with respect to time. The method improves the order of strong convergence of conventional numerical methods.

Recommendations

• Rate of convergence of local linearization schemes for random differential equations
• Local linearization method for the numerical solution of stochastic differential equations
• scientific article; zbMATH DE number 5983913
• Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
• Numerical solution of random differential initial value problems: Multistep methods

Cites work

• A Finite Element Method for Random Differential Equations with Random Coefficients
• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Computing integrals involving the matrix exponential
• Discretization of a Random Dynamical System near a Hyperbolic Point
• Dynamic properties of the local linearization method for initial value problems.
• Expokit
• scientific article; zbMATH DE number 1808513 (Why is no real title available?)
• scientific article; zbMATH DE number 3646799 (Why is no real title available?)
• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 47670 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• On the cohomology of flows of stochastic and random differential equations
• Pathwise approximation of random ordinary differential equations
• Random differential equations as models of ecosystems: Monte Carlo simulation approach
• Random differential equations in science and engineering
• Random dynamical systems
• Random integral equations with applications to life sciences and engineering
• Random Transverse Vibrations of a One-sided Fixed Beam and Model Reduction
• Simulation and Approximation of Stochastic Processes by Spline Functions
• The conjugacy of stochastic and random differential equations and the existence of global attractors
• Towards a theory of random numerical dynamics

Cited in

(24)

• Pathwise Taylor schemes for random ordinary differential equations
• Local linearization method for the numerical solution of stochastic differential equations
• Simulation of stochastic differential equations through the local linearization method. A comparative study
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• An explicit numerical scheme for the computer simulation of the stochastic transport equation
• Multiple shooting-local linearization method for the identification of dynamical systems
• Efficient computation of phi-functions in exponential integrators
• Rate of convergence of local linearization schemes for random differential equations
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
• Rate of convergence of local linearization schemes for initial-value problems
• scientific article; zbMATH DE number 5983913 (Why is no real title available?)
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
• Stable integration of stiff random ordinary differential equations
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Construction and study of local linearization adaptive codes for ordinary differential equations
• Realistically Coupled Neural Mass Models Can Generate EEG Rhythms
• Higher order weak linearizations of stochastically driven nonlinear oscillators
• Pathwise convergent higher order numerical schemes for random ordinary differential equations
• Integrable discretization of linear and logistic equations under random intervals with higher-order accuracy
• Long-term simulation of stochastic predator-prey systems with Beddington-DeAngelis functional response
• Pathwise methods for the integration of a stochastic SVIR model
• A higher order local linearization method for solving ordinary differential equations
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators

Describes a project that uses

Uses Software

• Expokit

This page was built for publication: The local linearization method for numerical integration of random differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2568632)