Runge-Kutta methods for stochastic differential equations
| Project/Area Number |
19540139
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Kyushu Institute of Technology |
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Principal Investigator |
KOMORI Yoshio Kyushu Institute of Technology, 大学院・情報工学研究院, 助教 (20285430)
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| Research Collaborator |
KEVIN Burrage オックスフォード大学, コンピューティングラボラトリー, 教授
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| Project Period (FY) |
2007 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2008: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2007: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 数値数学 / 確率微分方程式 / 数値解法 / 数値的安定性 / Weakオーダー / 陰的解法 / Weak オーダー |
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| Research Abstract |
We have considered numerical methods for ordinary differential equations with noise terms. In general, such methods need a large number of (pseudo-) random numbers and a large number of evaluations of the diffusion coefficients in the equations. In this research subject, numerical schemes with high precision have been proposed in which the sum of the both numbers is smaller than existing schemes need. Incidentally, because numerical calculations cause numerical errors, methods less influenced by the errors are desirable. Such methods with high precision have been also proposed.
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Report
(6 results)
Research Products
(33 results)
