BEGIN:VCALENDAR VERSION:2.0 PRODID:researchseminars.org CALSCALE:GREGORIAN X-WR-CALNAME:researchseminars.org BEGIN:VEVENT SUMMARY:Yoshio Komori (Kyushu Institute of Technology) DTSTART:20230906T111500Z DTEND:20230906T120000Z DTSTAMP:20260417T003246Z UID:cam/2 DESCRIPTION:Title: Spli t S-ROCK methods for high-dimensional stochastic differential equations\nby Yoshio Komori (Kyushu Institute of Technology) as part of CAM semina r\n\nLecture held in MV:L14.\n\nAbstract\nWe propose explicit stochastic R unge--Kutta (RK) methods for high-dimensional It\\^{o} stochastic differen tial equations. By providing a linear error analysis and utilizing a Stran g splitting-type approach\, we construct them on the basis of orthogonal R unge--Kutta—Chebyshev methods of order 2. Our methods are of weak order 2 and have high computational accuracy for relatively large time-step size \, as well as good stability properties. In addition\, we take stochastic exponential RK methods of weak order 2 as competitors. It is shown that th e proposed methods can be very effective on high-dimensional problems whos e drift term has eigenvalues lying near the negative real axis and whose d iffusion term does not have very large noise. This is a joint work with Pr of. Kevin Burrage.\n LOCATION:https://researchseminars.org/talk/cam/2/ END:VEVENT END:VCALENDAR