Y. Komori and K. Burrage (2025), Efficient numerical computations for solving high-dimensional stochastic differential equations, Journal of Computational and Applied Mathematics, in progress.

Abstract
The efficient numerical computations of matrix exponentials in a tensor framework have been recently studied by some researchers. We consider this approach and apply it to exponential methods for stochastic differential equations (SDEs). As a result, we will show that the approach is available for the methods to solve high-dimensional SDEs efficiently.

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Last updated: 2025/09/23