scholarly journals Parareal Algorithms Applied to Stochastic Differential Equations with Conserved Quantities

2019 ◽  
Vol 37 (1) ◽  
pp. 48-60 ◽  
Author(s):  
Liying Zhang
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Conserved Quantities

scholarly journals Projection methods for stochastic differential equations with conserved quantities

2016 ◽  
Vol 56 (4) ◽  
pp. 1497-1518 ◽  
Author(s):  
Weien Zhou ◽  
Liying Zhang ◽  
Jialin Hong ◽  
Songhe Song
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Projection Methods ◽  
Conserved Quantities

scholarly journals Simulating Stochastic Differential Equations with Conserved Quantities by Improved Explicit Stochastic Runge–Kutta Methods

Mathematics ◽  
2020 ◽  
Vol 8 (12) ◽  
pp. 2195
Author(s):  
Zhenyu Wang ◽  
Qiang Ma ◽  
Xiaohua Ding
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Computational Cost ◽  
Conserved Quantity ◽  
Conserved Quantities ◽  
Mean Square Convergence ◽  
The Mean ◽  
Runge Kutta ◽  
Improved Methods ◽  
Theoretical Results

Explicit numerical methods have a great advantage in computational cost, but they usually fail to preserve the conserved quantity of original stochastic differential equations (SDEs). In order to overcome this problem, two improved versions of explicit stochastic Runge–Kutta methods are given such that the improved methods can preserve conserved quantity of the original SDEs in Stratonovich sense. In addition, in order to deal with SDEs with multiple conserved quantities, a strategy is represented so that the improved methods can preserve multiple conserved quantities. The mean-square convergence and ability to preserve conserved quantity of the proposed methods are proved. Numerical experiments are implemented to support the theoretical results.

Stochastic Differential Equations for Power Law Behaviors

2012 ◽  
Author(s):  
Bo Jiang ◽  
Roger Brockett ◽  
Weibo Gong ◽  
Don Towsley
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Power Law

scholarly journals Strong Solution Existence for a Class of Degenerate Stochastic Differential Equations

2020 ◽  
Vol 53 (2) ◽  
pp. 2220-2224
Author(s):  
William M. McEneaney ◽  
Hidehiro Kaise ◽  
Peter M. Dower ◽  
Ruobing Zhao
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Strong Solution ◽  
Solution Existence
Sign in / Sign up

Export Citation Format

Share Document