Accurate stationary densities with partitioned numerical methods for stochastic differential equations

SIAM Journal on Numerical Analysis

Volumn 47, Issue 3, 2009, Pages 1601-1618

  Burrage, Kevin ^a,b   Lythe, Grant ^a,c  

^a UNIVERSITY OF QUEENSLAND   (Australia)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c UNIVERSITY OF LEEDS   (United Kingdom)

Author keywords

Damped harmonic oscillators with noise; Leapfrog methods; Stationary distribution; Stochastic Runge Kutta methods

Indexed keywords

DAMPED HARMONIC OSCILLATORS WITH NOISE; GAUSSIAN RANDOM VARIABLE; LEAPFROG METHODS; MEAN-SQUARE; POSITION VARIABLES; RUNGE-KUTTA; SECOND ORDERS; STATIONARY DISTRIBUTION; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC RUNGE KUTTA METHODS; SYMPLECTIC; TIME STEP; TWO STAGE; ZERO DAMPING;

CLUSTER ANALYSIS; DIFFERENTIAL EQUATIONS; DISCRIMINANT ANALYSIS; ERROR STATISTICS; MEASUREMENT THEORY; NUMBER THEORY; NUMERICAL METHODS; OSCILLATORS (MECHANICAL); RANDOM PROCESSES; RANDOM VARIABLES; REGRESSION ANALYSIS; STOCHASTIC CONTROL SYSTEMS;

RUNGE KUTTA METHODS;

EID: 65949118244     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/060677148     Document Type: Article

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