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Efficient numerical computations for solving high-dimensional stochastic differential equations

delete2025-09-01
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PRE
AI
Y
Yoshio Komori *
K
Kevin Burrage
DOI：10.1016/j.cam.2025.117043delete
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Abstract

Abstract

En 中文
The efficient numerical computations of matrix exponentials in a tensor framework have been recently studied by some researchers. We consider this approach and apply it to exponential methods for stochastic differential equations (SDEs). As a result, we will show that the approach is available for the methods to solve high-dimensional SDEs efficiently.
Keywords:
Exponential integrator
Orthogonal Runge-Kutta-Chebyshev method
It & ocirc
stochastic differential equation

Journal

J
Journal of Computational and Applied Mathematics
IF:
2.6
Papers:
336
Citations:
0

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No organization information available