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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2024, Volume 27, Number 2, Pages 123–145
DOI: https://doi.org/10.15372/SJNM20240201
(Mi sjvm866)
 

Rosenbrock-type methods for solving stochastic differential equations

T. A. Averinaab, K. A. Rybakovc

a Institute of Computational Mathematics and Mathematical Geophysics of Siberian Branch of Russian Academy of Sciences, Russia
b Novosibirsk State University, Russia
c Moscow Aviation Institute (National Research University), Moscow, Russia
References:
Abstract: This paper reviews recent publications that describe mathematical models with stochastic differential equations (SDEs) and applications in various fields. The purpose of this paper is to briefly describe Rosenbrock-type methods for approximate solution of SDEs. It shows how the performance of the numerical methods can be improved and the accuracy of calculations can be increased without increasing the implementation complexity too much. The paper also proposes a new Rosenbrock-type method for SDEs with multiplicative non-commutative noise. Its testing is carried out by modeling rotational diffusion.
Key words: stochastic differential equations, Euler-Maruyama method, Milstein method, Rosenbrock-type method, numerical method, rotational diffusion.
Funding agency Grant number
Ministry of Science and Higher Education of the Russian Federation FWNM-2022-0002
FSFF-2023-0008
Received: 04.01.2024
Revised: 28.02.2024
Accepted: 04.03.2024
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: T. A. Averina, K. A. Rybakov, “Rosenbrock-type methods for solving stochastic differential equations”, Sib. Zh. Vychisl. Mat., 27:2 (2024), 123–145
Citation in format AMSBIB
\Bibitem{AveRyb24}
\by T.~A.~Averina, K.~A.~Rybakov
\paper Rosenbrock-type methods for solving stochastic differential equations
\jour Sib. Zh. Vychisl. Mat.
\yr 2024
\vol 27
\issue 2
\pages 123--145
\mathnet{http://mi.mathnet.ru/sjvm866}
\crossref{https://doi.org/10.15372/SJNM20240201}
\edn{https://elibrary.ru/UEEZLY}
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    Sibirskii Zhurnal Vychislitel'noi Matematiki
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