Treffer: Multidimensional exponential timestepping with boundary test
Title:
Multidimensional exponential timestepping with boundary test
Authors:
Source:
SIAM journal on scientific computing (Print). 27(3):793-808
Publisher Information:
Philadelphia, PA: Society for Industrial and Applied Mathematics, 2005.
Publication Year:
2005
Physical Description:
print, 26 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Processus stochastiques, Stochastic processes, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Probabilités et statistiques numériques, Numerical methods in probability and statistics, Méthodes de calcul scientifique (y compris calcul symbolique, calcul algébrique), Methods of scientific computing (including symbolic computation, algebraic computation), Algorithme, Algorithm, Algoritmo, Analyse numérique, Numerical analysis, Análisis numérico, Calcul scientifique, Scientific computation, Computación científica, Calcul stochastique, Stochastic calculus, Cálculo estocástico, Loi exponentielle, Exponential distribution, Ley exponencial, Mouvement brownien, Brownian motion, Movimiento browniano, Surface courbe, Curved surface, Superficie curva, Diffusion n dimensions, Multidimensional diffusion, Incrément indépendant, Independent increment, Ordre convergence, Temps moyen, Temps sortie, 65C30, curved boundaries, exit time, multidimensional diffusion, numerical methods, stochastic calculus
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
Department of Mathematics, University College London, Gower Street, London WC1E 6BT, England, United Kingdom
Department of Applied Mathematics, University of Leeds, Leeds LS2 9JT, England, United Kingdom
Department of Applied Mathematics, University of Leeds, Leeds LS2 9JT, England, United Kingdom
ISSN:
1064-8275
Rights:
Copyright 2006 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.17722966
Database:
PASCAL Archive
Weitere Informationen
Exponential timestepping algorithms are efficient for exit-time problems because a boundary test can be performed at the end of each timestep, giving high-order convergence in numerical evaluation of mean exit times. Successive time increments are independent random variables with an exponential distribution. We show how to perform exact timestepping for Brownian motion in more than one dimension and consider hitting times of curved surfaces. Taking as examples the exit times from a circle, from a ball, from an ellipse, and from the region bounded by the two lines of a hyperbola, we report the results of numerical experiments performed with the algorithms developed in this work.