High order explicit exponential Runge-Kutta methods for the weak approximation of solutions of stochastic differential equations

• Material Type: 文書・図像類
• Title: High order explicit exponential Runge-Kutta methods for the weak approximation of solutions of stochastic differential equations
• Author/Editor: 小守, 良雄; Cohen, David; Burrage, Kevin
• Author Heading: 小守, 良雄 コモリ, ヨシオ; Cohen, David; Burrage, Kevin
• Publication, Distribution, etc.: 九州工業大学
• Publication Date: 2014-09-19
• Publication Date (W3CDTF): 2014-09-19
• Periodical title: Technical Report in Computer Science and Systems Engineering
• Pages: 1-24
• ISSN (Periodical Title): PISSN : 1344-8803
• Text Language Code: eng
• Target Audience: 一般
• Note (General): [Remark] The material in this report has been superseded by the following paper: Y. Komori, D. Cohen and K. Burrage (2017), Weak second order explicit exponential Runge-Kutta methods for stochastic differential equations, SIAM Journal on Scientific Computing, 39 (6), 2857-A2878.
• Access Restrictions: 限定公開
• Is Version Of (DOI): 10.1137/15M1041341; http://hdl.handle.net/10228/00006466
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 九州工業大学 : キューテイカー

• Summary, etc.: We are concerned with numerical methods which give weak approximations for stiff Ito stochastic differential equations (SDEs). It is well known that t...