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:20260404T132230Z UID:cam/2 DESCRIPTION:Title: Split S-ROCK methods for high-dimensional stochastic differential equat ions\nby Yoshio Komori (Kyushu Institute of Technology) as part of CAM seminar\n\nLecture held in MV:L14.\n\nAbstract\nWe propose explicit stoch astic Runge--Kutta (RK) methods for high-dimensional It\\^{o} stochastic d ifferential equations. By providing a linear error analysis and utilizing a Strang splitting-type approach\, we construct them on the basis of ortho gonal Runge--Kutta—Chebyshev methods of order 2. Our methods are of weak order 2 and have high computational accuracy for relatively large time-st ep size\, as well as good stability properties. In addition\, we take stoc hastic exponential RK methods of weak order 2 as competitors. It is shown that the proposed methods can be very effective on high-dimensional proble ms whose drift term has eigenvalues lying near the negative real axis and whose diffusion term does not have very large noise. This is a joint work with Prof. Kevin Burrage.\n LOCATION:https://stable.researchseminars.org/talk/cam/2/ END:VEVENT END:VCALENDAR