Comment on "numerical methods for stochastic differential equations"

Burrage, K; Burrage, P; Higham, D; Kloeden, P; Platen, E

Comment on "numerical methods for stochastic differential equations"

Burrage, K Burrage, P Higham, D Kloeden, P Platen, E

Permalink

Publisher:: American Physical Society
Publication Type:: Journal Article
Citation:: Burrage Kevin et al. 2006, 'Comment on "numerical methods for stochastic differential equations"', American Physical Society, vol. 74, no. 6, pp. 068701-1-068701-2.
Issue Date:: 2006

Closed Access

	Filename	Description	Size
	2006004678.pdf		43.87 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Burrage, K	en_US
dc.contributor.author	Burrage, P	en_US
dc.contributor.author	Higham, D	en_US
dc.contributor.author	Kloeden, P	en_US
dc.contributor.author	Platen, E	en_US
dc.date.accessioned	2009-06-26T04:10:32Z
dc.date.available	2009-06-26T04:10:32Z
dc.date.issued	2006	en_US
dc.identifier	2006004678	en_US
dc.identifier.citation	Burrage Kevin et al. 2006, 'Comment on "numerical methods for stochastic differential equations"', American Physical Society, vol. 74, no. 6, pp. 068701-1-068701-2.	en_US
dc.identifier.issn	1539-3755	en_US
dc.identifier.other	C1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/446
dc.description.abstract	Wilkie (Phys. Rev. E 70, 017701 (2004)) used a heuristic approach to derive Runge-Kutta-based numerical methods for stochastic differential equations based on methods used for solving ordinary differential equations. The aim ws to follow solution paths with high order. We point out that this approach is invalid in the general case and does not lead to high order methods. We warn readers against the inappropriate use of deterministic calculus in a stochastic setting.	en_US
dc.publisher	American Physical Society	en_US
dc.relation.ispartof	Verified OK	en_US
dc.relation.ispartof	Physical Review E	en_US
dc.relation.isbasedon	https://doi.org/10.1103/PhysRevE.74.068701	en_US
dc.subject.classification	Applied Mathematics	en_US
dc.title	Comment on "numerical methods for stochastic differential equations"	en_US
dc.type	Journal article
utslib.citation.volume	74	en_US
utslib.citation.number	6	en_US
utslib.location	USA	en_US
utslib.citation.startpage	068701-1	en_US
utslib.citation.endpage	068701-2	en_US
utslib.identifier.org	BUS.School of Finance and Economics	en_US
utslib.for	010500	en_US
utslib.percentage	100	en_US
utslib.copyright.status	closed_access

Abstract:

Wilkie (Phys. Rev. E 70, 017701 (2004)) used a heuristic approach to derive Runge-Kutta-based numerical methods for stochastic differential equations based on methods used for solving ordinary differential equations. The aim ws to follow solution paths with high order. We point out that this approach is invalid in the general case and does not lead to high order methods. We warn readers against the inappropriate use of deterministic calculus in a stochastic setting.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/446