High order weak methods for stochastic differential equations based on modified equations

High order weak methods for stochastic differential equations based on modified equations

Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new high order...

Deskribapen osoa

Xehetasun bibliografikoak
Egile Nagusiak:	Abdulle, A, Cohen, D, Vilmart, G, Zygalakis, K
Formatua:	Journal article
Argitaratua:	2011

Antzeko izenburuak

Second weak order explicit stabilized methods for stiff stochastic differential equations
nork: Abdulle, A, et al.
Argitaratua: (2012)

On the existence and the applications of modified equations for stochastic differential equations
nork: Zygalakis, K
Argitaratua: (2009)

Weak order in averaging principle for stochastic differential equations with jumps
nork: Bengong Zhang, et al.
Argitaratua: (2018-05-01)

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
nork: Giles, M, et al.
Argitaratua: (2019)

Investigation of high order stochastic differential equations using averaging method
nork: Nguyen Dong Anh, et al.
Argitaratua: (2007-09-01)

Predictability and uniqueness of weak solutions of the stochastic differential equations
nork: Merkle Ana
Argitaratua: (2023-01-01)

A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps
nork: Yang Li, et al.
Argitaratua: (2021-01-01)

Computer modeling of solutions to stochastic differential equations: weak approximations
nork: Antanas Lenkšas
Argitaratua: (2002-12-01)

Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
nork: Alnafisah Yousef
Argitaratua: (2022-04-01)

Modified two-step method for stochastic differential equation's parameter estimation /
nork: Nur Hashida Md Lazim, 1992-, author, et al.
Argitaratua: (2017)

Modified two-step method for stochastic differential equation's parameter estimation /
nork: Nur Hashida Md Lazim, 1992-, author, et al.
Argitaratua: (2017)

Fast stochastic simulation of biochemical reaction systems by alternative formulations of the Chemical Langevin Equation
nork: Mélykúti, B, et al.
Argitaratua: (2010)

A weak Galerkin method for nonlinear stochastic parabolic partial differential equations with additive noise
nork: Hongze Zhu, et al.
Argitaratua: (2022-04-01)

Statistical methods for stochastic differential equations /
nork: Kessler, Mathieu, 1970-, et al.
Argitaratua: (c201)

Stochastic Taylor Methods for Stochastic Delay Differential Equations
nork: Norhayati, Rosli, et al.
Argitaratua: (2013)

Derivation of stochastic Taylor methods for stochastic differential equations
nork: Noor Amalina Nisa, Ariffin, et al.
Argitaratua: (2017)

Stochastic differential equations with bad coefficients: a short note on the weak approximations
nork: Antanas Lenkšas
Argitaratua: (2004-12-01)

Stochastic differential equations /
nork: Gihman, Iosif Il'ich
Argitaratua: (1972)

Application of stochastic differential equations and stochastic delay differential equations in population dynamics
nork: Bahar, Arifah
Argitaratua: (2005)

Applications of stochastic differential equations and stochastic delay differential equations in population dynamics /
nork: 199532 Arifah Bahar
Argitaratua: (2005)

Studying partially ordered systems using stochastic differential equations
nork: Rolls, E
Argitaratua: (2018)

Symmetries of th-Order Approximate Stochastic Ordinary Differential Equations
nork: E. Fredericks, et al.
Argitaratua: (2012-01-01)

Stochastic Runge-Kutta method for stochastic delay differential equations /
nork: Norhayati Rosli, 1981-
Argitaratua: (2012)

Stochastic Runge-Kutta method for stochastic delay differential equations /
nork: Norhayati Rosli, 1981-, et al.
Argitaratua: (2012)

Stochastic Runge-Kutta method for stochastic delay differential equations
nork: Norhayati, Rosli
Argitaratua: (2012)

Stochastic methods and their applications to communications : stochastic differential equations approach /
nork: 248554 Primak, Serguei, et al.
Argitaratua: (2004)

Stochastic stability of solutions for a fourth-order stochastic differential equation with constant delay
nork: Ayman M. Mahmoud, et al.
Argitaratua: (2023-11-01)

Applications of stochastic differential equations and stochastic delay differential equations in population dynamics [microfilm] /
Argitaratua: (2005)

Numerical methods for simulation of stochastic differential equations
nork: Mustafa Bayram, et al.
Argitaratua: (2018-01-01)

Newton's method for stochastic differential equations and its probabilistic second-order error estimate
nork: Kazuo Amano
Argitaratua: (2012-01-01)

Weak convergence methods for nonlinear partial differential equations /
nork: Evans, Lawrence C, et al.
Argitaratua: (1990)

High-Order Spectral Method of Density Estimation for Stochastic Differential Equation Driven by Multivariate Gaussian Random Variables
nork: Hongling Xie
Argitaratua: (2023-01-01)

Fractional Order Stochastic Differential Equation with Application in European Option Pricing
nork: Qing Li, et al.
Argitaratua: (2014-01-01)

Analysis of stochastic pantograph differential equations with generalized derivative of arbitrary order
nork: Devaraj Vivek, et al.
Argitaratua: (2022-12-01)

On the qualitative behaviors of stochastic delay integro-differential equations of second order
nork: Ayman M. Mahmoud, et al.
Argitaratua: (2024-03-01)

Stochastic partial differential equations /
nork: 310825 Chow, P. L. (Pao Liu), 1936- author
Argitaratua: (2015)

Stochastic partial differential equations /
nork: 310825 Chow, P. L. (Pao Liu), 1936-
Argitaratua: (c200)

Stochastic functional differential equations /
nork: 407678 Mohammed, S. E. A.
Argitaratua: (1984)

Introduction to stochastic differential equations /
nork: 383038 Grad, T. C.
Argitaratua: (1988)

Stochastic differential equations and applications /
nork: 361850 Friedman, Avner
Argitaratua: (1975)