dorsal/arxiv
View SchemaVariable stepsize Runge-Kutta methods for stochastic wave equations
| Authors | Joshua Wilkie, Murat Cetinbas |
|---|---|
| Categories | |
| ArXiv ID | quant-ph/0406092 |
| URL | https://arxiv.org/abs/quant-ph/0406092 |
| Journal | Physics Letters A, Volume 337, Issue 3, 4 April 2005, Pages 166-182 |
Abstract
We show that existing Runge-Kutta methods for ordinary differential equations (odes) can be modified to solve stochastic differential equations (sdes) with strong solutions provided that appropriate changes are made to the way stepsizes are selected. The order of the resulting sde scheme is half the order of the ode scheme. Specifically, we show that an explicit 9th order Runge-Kutta method (with an embedded 8th order method) for odes yields an order 4.5 method for sdes which can be implemented with variable stepsizes. This method is tested by solving systems of sdes originating from stochastic wave equations arising from master equations and the many-body Schroedinger equation.
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"abstract": "We show that existing Runge-Kutta methods for ordinary differential equations\n(odes) can be modified to solve stochastic differential equations (sdes) with\nstrong solutions provided that appropriate changes are made to the way\nstepsizes are selected. The order of the resulting sde scheme is half the order\nof the ode scheme. Specifically, we show that an explicit 9th order Runge-Kutta\nmethod (with an embedded 8th order method) for odes yields an order 4.5 method\nfor sdes which can be implemented with variable stepsizes. This method is\ntested by solving systems of sdes originating from stochastic wave equations\narising from master equations and the many-body Schroedinger equation.",
"arxiv_id": "quant-ph/0406092",
"authors": [
"Joshua Wilkie",
"Murat Cetinbas"
],
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"quant-ph"
],
"journal_ref": "Physics Letters A, Volume 337, Issue 3, 4 April 2005, Pages\n 166-182",
"title": "Variable stepsize Runge-Kutta methods for stochastic wave equations",
"url": "https://arxiv.org/abs/quant-ph/0406092"
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