检索结果-南通市图书馆

Modeling Fast Diffusion Processes in Time Integration of stiff stochastic differential equations

Communications on Applied Mathematics and Computation 2022年第4期4卷 1457-1493页

作者： Xiaoying Han Habib N.Najm Department of Mathematics and Statistics Auburn University221 Parker HallAuburnAL 36849USA Sandia National Laboratories P.O.Box 969LivermoreCA 94551USA

Numerical algorithms for stiff stochastic differential equations are developed using lin-ear approximations of the fast diffusion processes,under the assumption of decoupling between fast and slow *** numerical schemes are proposed,all of which are based on the linearized formulation albeit with different degrees of *** schemes are of comparable complexity to the classical explicit Euler-Maruyama scheme but can achieve better accuracy at larger time steps in stiff *** analysis is conducted for one of the schemes,that shows it to have a strong convergence order of 1/2 and a weak convergence order of *** arriving at the other two schemes are *** experiments are carried out to examine the convergence of the schemes proposed on model problems.

关键词： stiff stochastic differential equation Fast diffusion Linear diffusion approximation Mean-square convergence Weak convergence

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments

引用

Science China Mathematics 2020年第12期63卷 2573-2594页

作者： Ying Xie Chengjian Zhang School of Mathematics and Statistics Huazhong University of Science and TechnologyWuhan 430074China School of Mathematics and Economics Hubei University of EducationWuhan 430205China Hubei Key Laboratory of Engineering Modeling and Scientific Computing Huazhong University of Science and TechnologyWuhan 430074China

This paper deals with numerical solutions of nonlinear stiff stochastic differential equations with jump-diffusion and piecewise continuous *** combining compensated split-step methods and balanced methods,a class of compensated split-step balanced(CSSB)methods are suggested for solving the *** on the one-sided Lipschitz condition and local Lipschitz condition,a strong convergence criterion of CSSB methods is *** is proved under some suitable conditions that the numerical solutions produced by CSSB methods can preserve the mean-square exponential stability of the corresponding analytical *** numerical examples are presented to illustrate the obtained theoretical results and the effectiveness of CSSB ***,in order to show the computational advantage of CSSB methods,we also give a numerical comparison with the adapted split-step backward Euler methods with or without compensation and tamed explicit methods.

关键词： stiff stochastic differential equation jump diffusion piecewise continuous argument compensated split-step balanced method strong convergence mean-square exponential stability

来源：

维普期刊数据库

同方期刊数据库评论

在线全文

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：