Journal articles on the topic 'Stochastic second order methods'
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Burrage, Kevin, Ian Lenane, and Grant Lythe. "Numerical Methods for Second‐Order Stochastic Differential Equations." SIAM Journal on Scientific Computing 29, no. 1 (January 2007): 245–64. http://dx.doi.org/10.1137/050646032.
Tocino, A., and J. Vigo-Aguiar. "Weak Second Order Conditions for Stochastic Runge--Kutta Methods." SIAM Journal on Scientific Computing 24, no. 2 (January 2002): 507–23. http://dx.doi.org/10.1137/s1064827501387814.
Komori, Yoshio. "Weak second-order stochastic Runge–Kutta methods for non-commutative stochastic differential equations." Journal of Computational and Applied Mathematics 206, no. 1 (September 2007): 158–73. http://dx.doi.org/10.1016/j.cam.2006.06.006.
Tang, Xiao, and Aiguo Xiao. "Efficient weak second-order stochastic Runge–Kutta methods for Itô stochastic differential equations." BIT Numerical Mathematics 57, no. 1 (April 26, 2016): 241–60. http://dx.doi.org/10.1007/s10543-016-0618-9.
Moxnes, John F., and Kjell Hausken. "Introducing Randomness into First-Order and Second-Order Deterministic Differential Equations." Advances in Mathematical Physics 2010 (2010): 1–42. http://dx.doi.org/10.1155/2010/509326.
Rößler, Andreas. "Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations." SIAM Journal on Numerical Analysis 47, no. 3 (January 2009): 1713–38. http://dx.doi.org/10.1137/060673308.
Rößler, Andreas. "Second order Runge–Kutta methods for Stratonovich stochastic differential equations." BIT Numerical Mathematics 47, no. 3 (May 12, 2007): 657–80. http://dx.doi.org/10.1007/s10543-007-0130-3.
Wang, Xiao, and Hongchao Zhang. "Inexact proximal stochastic second-order methods for nonconvex composite optimization." Optimization Methods and Software 35, no. 4 (January 15, 2020): 808–35. http://dx.doi.org/10.1080/10556788.2020.1713128.
Abdulle, Assyr, Gilles Vilmart, and Konstantinos C. Zygalakis. "Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations." SIAM Journal on Scientific Computing 35, no. 4 (January 2013): A1792—A1814. http://dx.doi.org/10.1137/12088954x.
Komori, Yoshio, and Kevin Burrage. "Weak second order S-ROCK methods for Stratonovich stochastic differential equations." Journal of Computational and Applied Mathematics 236, no. 11 (May 2012): 2895–908. http://dx.doi.org/10.1016/j.cam.2012.01.033.
Rathinasamy, Anandaraman, Davood Ahmadian, and Priya Nair. "Second-order balanced stochastic Runge–Kutta methods with multi-dimensional studies." Journal of Computational and Applied Mathematics 377 (October 2020): 112890. http://dx.doi.org/10.1016/j.cam.2020.112890.
Zhang, Jianling. "Multi-sample test based on bootstrap methods for second order stochastic dominance." Hacettepe Journal of Mathematics and Statistics 44, no. 13 (October 11, 2014): 1. http://dx.doi.org/10.15672/hjms.2014137464.
Komori, Yoshio, David Cohen, and Kevin Burrage. "Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations." SIAM Journal on Scientific Computing 39, no. 6 (January 2017): A2857—A2878. http://dx.doi.org/10.1137/15m1041341.
Khodabin, M., K. Maleknejad, M. Rostami, and M. Nouri. "Numerical solution of stochastic differential equations by second order Runge–Kutta methods." Mathematical and Computer Modelling 53, no. 9-10 (May 2011): 1910–20. http://dx.doi.org/10.1016/j.mcm.2011.01.018.
Yang, Jie, Weidong Zhao, and Tao Zhou. "Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations." Journal of Scientific Computing 79, no. 3 (January 3, 2019): 1409–32. http://dx.doi.org/10.1007/s10915-018-00896-w.
Abukhaled, Marwan I., and Edward J. Allen. "EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS." Stochastic Analysis and Applications 20, no. 4 (August 28, 2002): 693–707. http://dx.doi.org/10.1081/sap-120006103.
Alzalg, Baha. "Decomposition-based interior point methods for stochastic quadratic second-order cone programming." Applied Mathematics and Computation 249 (December 2014): 1–18. http://dx.doi.org/10.1016/j.amc.2014.10.015.
Cohen, David, and Magdalena Sigg. "Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations." Numerische Mathematik 121, no. 1 (November 13, 2011): 1–29. http://dx.doi.org/10.1007/s00211-011-0426-8.
Komori, Yoshio, and Kevin Burrage. "Supplement: Efficient weak second order stochastic Runge–Kutta methods for non-commutative Stratonovich stochastic differential equations." Journal of Computational and Applied Mathematics 235, no. 17 (July 2011): 5326–29. http://dx.doi.org/10.1016/j.cam.2011.04.021.
Sabelfeld, Karl K., Dmitry Smirnov, Ivan Dimov, and Venelin Todorov. "A global random walk on grid algorithm for second order elliptic equations." Monte Carlo Methods and Applications 27, no. 4 (October 27, 2021): 325–39. http://dx.doi.org/10.1515/mcma-2021-2097.
Xie, Chenghan, Chenxi Li, Chuwen Zhang, Qi Deng, Dongdong Ge, and Yinyu Ye. "Trust Region Methods for Nonconvex Stochastic Optimization beyond Lipschitz Smoothness." Proceedings of the AAAI Conference on Artificial Intelligence 38, no. 14 (March 24, 2024): 16049–57. http://dx.doi.org/10.1609/aaai.v38i14.29537.
Tang, Xiao, and Aiguo Xiao. "New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations." Numerical Algorithms 82, no. 2 (October 25, 2018): 593–604. http://dx.doi.org/10.1007/s11075-018-0615-y.
Dentcheva, Darinka, and Andrzej Ruszczyński. "Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints." Optimization 59, no. 3 (April 2010): 323–38. http://dx.doi.org/10.1080/02331931003696350.
Tocino, A. "Mean-square stability of second-order Runge–Kutta methods for stochastic differential equations." Journal of Computational and Applied Mathematics 175, no. 2 (March 2005): 355–67. http://dx.doi.org/10.1016/j.cam.2004.05.019.
Abukhaled, Marwan I. "Mean square stability of second-order weak numerical methods for stochastic differential equations." Applied Numerical Mathematics 48, no. 2 (February 2004): 127–34. http://dx.doi.org/10.1016/j.apnum.2003.10.006.
Ghilli, Daria. "Viscosity methods for large deviations estimates of multiscale stochastic processes." ESAIM: Control, Optimisation and Calculus of Variations 24, no. 2 (January 26, 2018): 605–37. http://dx.doi.org/10.1051/cocv/2017051.
Yousefi, Hassan, Seyed Shahram Ghorashi, and Timon Rabczuk. "Directly Simulation of Second Order Hyperbolic Systems in Second Order Form via the Regularization Concept." Communications in Computational Physics 20, no. 1 (June 22, 2016): 86–135. http://dx.doi.org/10.4208/cicp.101214.011015a.
ITKIN, ANDREY. "HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs." International Journal of Theoretical and Applied Finance 18, no. 05 (July 28, 2015): 1550031. http://dx.doi.org/10.1142/s0219024915500314.
Yousefi, Mahsa, and Ángeles Martínez. "Deep Neural Networks Training by Stochastic Quasi-Newton Trust-Region Methods." Algorithms 16, no. 10 (October 20, 2023): 490. http://dx.doi.org/10.3390/a16100490.
Abukhaled, M. I., and E. J. Allen. "A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations." Stochastic Analysis and Applications 16, no. 6 (January 1998): 977–91. http://dx.doi.org/10.1080/07362999808809575.
Rudolf, Gábor, and Andrzej Ruszczyński. "Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods." SIAM Journal on Optimization 19, no. 3 (January 2008): 1326–43. http://dx.doi.org/10.1137/070702473.
Ahn, T. H., and A. Sandu. "Implicit Second Order Weak Taylor Tau-Leaping Methods for the Stochastic Simulation of Chemical Kinetics." Procedia Computer Science 4 (2011): 2297–306. http://dx.doi.org/10.1016/j.procs.2011.04.250.
Meskarian, Rudabeh, Huifu Xu, and Jörg Fliege. "Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization." European Journal of Operational Research 216, no. 2 (January 2012): 376–85. http://dx.doi.org/10.1016/j.ejor.2011.07.044.
Lu, Lu, Yu Yuan, Heng Wang, Xing Zhao, and Jianjie Zheng. "A New Second-Order Tristable Stochastic Resonance Method for Fault Diagnosis." Symmetry 11, no. 8 (August 1, 2019): 965. http://dx.doi.org/10.3390/sym11080965.
PELLEGRINO, TOMMASO. "SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES." International Journal of Theoretical and Applied Finance 23, no. 03 (May 2020): 2050021. http://dx.doi.org/10.1142/s0219024920500211.
Rathinasamy, Anandaraman, and Priya Nair. "Asymptotic mean-square stability of weak second-order balanced stochastic Runge–Kutta methods for multi-dimensional Itô stochastic differential systems." Applied Mathematics and Computation 332 (September 2018): 276–303. http://dx.doi.org/10.1016/j.amc.2018.03.065.
Namachchivaya, N. S., and Gerard Leng. "Equivalence of Stochastic Averaging and Stochastic Normal Forms." Journal of Applied Mechanics 57, no. 4 (December 1, 1990): 1011–17. http://dx.doi.org/10.1115/1.2897619.
Zhou, Jingcheng, Wei Wei, Ruizhi Zhang, and Zhiming Zheng. "Damped Newton Stochastic Gradient Descent Method for Neural Networks Training." Mathematics 9, no. 13 (June 29, 2021): 1533. http://dx.doi.org/10.3390/math9131533.
Huang, Xunpeng, Xianfeng Liang, Zhengyang Liu, Lei Li, Yue Yu, and Yitan Li. "SPAN: A Stochastic Projected Approximate Newton Method." Proceedings of the AAAI Conference on Artificial Intelligence 34, no. 02 (April 3, 2020): 1520–27. http://dx.doi.org/10.1609/aaai.v34i02.5511.
Leimkuhler, B., C. Matthews, and M. V. Tretyakov. "On the long-time integration of stochastic gradient systems." Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 470, no. 2170 (October 8, 2014): 20140120. http://dx.doi.org/10.1098/rspa.2014.0120.
Rathinasamy, A., and K. Balachandran. "Mean-square stability of second-order Runge–Kutta methods for multi-dimensional linear stochastic differential systems." Journal of Computational and Applied Mathematics 219, no. 1 (September 2008): 170–97. http://dx.doi.org/10.1016/j.cam.2007.07.019.
Tang, Xiao, and Aiguo Xiao. "Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods." Advances in Computational Mathematics 45, no. 2 (October 24, 2018): 813–46. http://dx.doi.org/10.1007/s10444-018-9638-0.
Liu, Yan, Maojun Zhang, Zhiwei Zhong, and Xiangrong Zeng. "AdaCN: An Adaptive Cubic Newton Method for Nonconvex Stochastic Optimization." Computational Intelligence and Neuroscience 2021 (November 10, 2021): 1–11. http://dx.doi.org/10.1155/2021/5790608.
Tas, Oktay, Farshad Mirzazadeh Barijough, and Umut Ugurlu. "A TEST OF SECOND-ORDER STOCHASTIC DOMINANCE WITH DIFFERENT WEIGHTING METHODS: EVIDENCE FROM BIST-30 and DJIA." Pressacademia 4, no. 4 (December 23, 2015): 723. http://dx.doi.org/10.17261/pressacademia.2015414538.
Vilmart, Gilles. "Weak Second Order Multirevolution Composition Methods for Highly Oscillatory Stochastic Differential Equations with Additive or Multiplicative Noise." SIAM Journal on Scientific Computing 36, no. 4 (January 2014): A1770—A1796. http://dx.doi.org/10.1137/130935331.
Debrabant, Kristian, and Andreas Rößler. "Families of efficient second order Runge–Kutta methods for the weak approximation of Itô stochastic differential equations." Applied Numerical Mathematics 59, no. 3-4 (March 2009): 582–94. http://dx.doi.org/10.1016/j.apnum.2008.03.012.
LÜTKEBOHMERT, EVA, and LYDIENNE MATCHIE. "VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES." International Journal of Theoretical and Applied Finance 17, no. 01 (February 2014): 1450004. http://dx.doi.org/10.1142/s0219024914500046.
Luo, Zhijian, and Yuntao Qian. "Stochastic sub-sampled Newton method with variance reduction." International Journal of Wavelets, Multiresolution and Information Processing 17, no. 06 (November 2019): 1950041. http://dx.doi.org/10.1142/s0219691319500413.
Lamrhari, D., D. Sarsri, and M. Rahmoune. "Component mode synthesis and stochastic perturbation method for dynamic analysis of large linear finite element with uncertain parameters." Journal of Mechanical Engineering and Sciences 14, no. 2 (June 22, 2020): 6753–69. http://dx.doi.org/10.15282/jmes.14.2.2020.17.0529.
Garcia-Montoya, Nina, Julienne Kabre, Jorge E. Macías-Díaz, and Qin Sheng. "Second-Order Semi-Discretized Schemes for Solving Stochastic Quenching Models on Arbitrary Spatial Grids." Discrete Dynamics in Nature and Society 2021 (May 5, 2021): 1–19. http://dx.doi.org/10.1155/2021/5530744.