Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
We derive a new methodology for the construction of high-order integrators for sampling the
invariant measure of ergodic stochastic differential equations with dynamics constrained on …
invariant measure of ergodic stochastic differential equations with dynamics constrained on …
Stochastic Runge–Kutta software package for stochastic differential equations
MN Gevorkyan, TR Velieva, AV Korolkova… - … and Complex Systems …, 2016 - Springer
As a result of the application of a technique of multistep processes stochastic models
construction the range of models, implemented as a self-consistent differential equations …
construction the range of models, implemented as a self-consistent differential equations …
Exotic B-series and S-series: algebraic structures and order conditions for invariant measure sampling
E Bronasco - Foundations of Computational Mathematics, 2024 - Springer
B-Series and generalizations are a powerful tool for the analysis of numerical integrators. An
extension named exotic aromatic B-Series was introduced to study the order conditions for …
extension named exotic aromatic B-Series was introduced to study the order conditions for …
Basic tracking using nonlinear continuous-time dynamic models [tutorial]
D Crouse - IEEE Aerospace and Electronic Systems Magazine, 2015 - ieeexplore.ieee.org
Physicists generally express the motion of objects in continuous time using differential
equations, whereas the majority of target tracking algorithms use discrete-time models. This …
equations, whereas the majority of target tracking algorithms use discrete-time models. This …
Bayesian parameter inference for partially observed diffusions using multilevel stochastic runge-kutta methods
We consider the problem of Bayesian estimation of static parameters associated to a
partially and discretely observed diffusion process. We assume that the exact transition …
partially and discretely observed diffusion process. We assume that the exact transition …
Split-step Milstein methods for multi-channel stiff stochastic differential systems
We consider split-step Milstein methods for the solution of stiff stochastic differential
equations with an emphasis on systems driven by multi-channel noise. We show their strong …
equations with an emphasis on systems driven by multi-channel noise. We show their strong …
Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDE\MakeLowercase {s}
We introduce a new algebraic framework based on a modification (called exotic) of aromatic
Butcher-series for the systematic study of the accuracy of numerical integrators for the …
Butcher-series for the systematic study of the accuracy of numerical integrators for the …
Runge–Kutta Lawson schemes for stochastic differential equations
K Debrabant, A Kværnø, NC Mattsson - BIT Numerical Mathematics, 2021 - Springer
In this paper, we present a framework to construct general stochastic Runge–Kutta Lawson
schemes. We prove that the schemes inherit the consistency and convergence properties of …
schemes. We prove that the schemes inherit the consistency and convergence properties of …
Efficient weak second-order stochastic Runge–Kutta methods for Itô stochastic differential equations
X Tang, A Xiao - BIT Numerical Mathematics, 2017 - Springer
In this paper, new weak second-order stochastic Runge–Kutta (SRK) methods for Itô
stochastic differential equations (SDEs) with an m-dimensional Wiener process are …
stochastic differential equations (SDEs) with an m-dimensional Wiener process are …
[HTML][HTML] Second-order balanced stochastic Runge–Kutta methods with multi-dimensional studies
In this paper, we have considered two classes of second-order balanced stochastic Runge–
Kutta methods to multidimensional Itô stochastic differential equations. The control functions …
Kutta methods to multidimensional Itô stochastic differential equations. The control functions …