{"id":"https://openalex.org/W2774412370","doi":"https://doi.org/10.1137/15m1041341","title":"Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations","display_name":"Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2774412370","doi":"https://doi.org/10.1137/15m1041341","mag":"2774412370"},"language":"en","primary_location":{"id":"doi:10.1137/15m1041341","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1041341","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://kyutech.repo.nii.ac.jp/records/5256","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058011277","display_name":"Yoshio Komori","orcid":"https://orcid.org/0000-0002-2334-6843"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Yoshio Komori","raw_affiliation_strings":["Department of Systems Design and Informatics Kyushu Institute of Technology"],"affiliations":[{"raw_affiliation_string":"Department of Systems Design and Informatics Kyushu Institute of Technology","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5047697581","display_name":"David Cohen","orcid":"https://orcid.org/0000-0001-6490-1957"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"David Cohen","raw_affiliation_strings":["Department of Mathematics and Mathematical Statistics Ume\u00e5 University","Ume\u00e5, Sweden"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Mathematical Statistics Ume\u00e5 University","institution_ids":[]},{"raw_affiliation_string":"Ume\u00e5, Sweden","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5003330950","display_name":"Kevin Burrage","orcid":"https://orcid.org/0000-0002-8111-1137"},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Kevin Burrage","raw_affiliation_strings":["Department of Computer Science, University of Oxford","School of Mathematics, Queensland University of Technology \u2020 680-4 Kawazu, Iizuka, 820-8502, Japan","Wolfson Building, Parks Road, Oxford, UK"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Oxford","institution_ids":["https://openalex.org/I40120149"]},{"raw_affiliation_string":"School of Mathematics, Queensland University of Technology \u2020 680-4 Kawazu, Iizuka, 820-8502, Japan","institution_ids":[]},{"raw_affiliation_string":"Wolfson Building, Parks Road, Oxford, UK","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5058011277"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.8461,"has_fulltext":true,"cited_by_count":24,"citation_normalized_percentile":{"value":0.91374995,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"39","issue":"6","first_page":"A2857","last_page":"A2878"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11416","display_name":"Numerical methods for differential equations","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10466","display_name":"Meteorological Phenomena and Simulations","score":0.9865000247955322,"subfield":{"id":"https://openalex.org/subfields/1902","display_name":"Atmospheric Science"},"field":{"id":"https://openalex.org/fields/19","display_name":"Earth and Planetary Sciences"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8872605562210083},{"id":"https://openalex.org/keywords/runge\u2013kutta-methods","display_name":"Runge\u2013Kutta methods","score":0.878159761428833},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.6867021322250366},{"id":"https://openalex.org/keywords/ordinary-differential-equation","display_name":"Ordinary differential equation","score":0.6336584687232971},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.6159964799880981},{"id":"https://openalex.org/keywords/l-stability","display_name":"L-stability","score":0.5463919043540955},{"id":"https://openalex.org/keywords/exponential-integrator","display_name":"Exponential integrator","score":0.5445282459259033},{"id":"https://openalex.org/keywords/backward-differentiation-formula","display_name":"Backward differentiation formula","score":0.535465657711029},{"id":"https://openalex.org/keywords/scalar","display_name":"Scalar (mathematics)","score":0.5341616868972778},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5196208357810974},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.5015203952789307},{"id":"https://openalex.org/keywords/runge\u2013kutta-method","display_name":"Runge\u2013Kutta method","score":0.48089146614074707},{"id":"https://openalex.org/keywords/differential-equation","display_name":"Differential equation","score":0.47665315866470337},{"id":"https://openalex.org/keywords/numerical-methods-for-ordinary-differential-equations","display_name":"Numerical methods for ordinary differential equations","score":0.4230746030807495},{"id":"https://openalex.org/keywords/differential-algebraic-equation","display_name":"Differential algebraic equation","score":0.1474919617176056}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8872605562210083},{"id":"https://openalex.org/C181582579","wikidata":"https://www.wikidata.org/wiki/Q725944","display_name":"Runge\u2013Kutta methods","level":3,"score":0.878159761428833},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.6867021322250366},{"id":"https://openalex.org/C51544822","wikidata":"https://www.wikidata.org/wiki/Q465274","display_name":"Ordinary differential equation","level":3,"score":0.6336584687232971},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.6159964799880981},{"id":"https://openalex.org/C165242687","wikidata":"https://www.wikidata.org/wiki/Q277932","display_name":"L-stability","level":5,"score":0.5463919043540955},{"id":"https://openalex.org/C122700484","wikidata":"https://www.wikidata.org/wiki/Q16148845","display_name":"Exponential integrator","level":5,"score":0.5445282459259033},{"id":"https://openalex.org/C152522140","wikidata":"https://www.wikidata.org/wiki/Q795746","display_name":"Backward differentiation formula","level":5,"score":0.535465657711029},{"id":"https://openalex.org/C57691317","wikidata":"https://www.wikidata.org/wiki/Q1289248","display_name":"Scalar (mathematics)","level":2,"score":0.5341616868972778},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5196208357810974},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.5015203952789307},{"id":"https://openalex.org/C25630934","wikidata":"https://www.wikidata.org/wiki/Q7379855","display_name":"Runge\u2013Kutta method","level":5,"score":0.48089146614074707},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.47665315866470337},{"id":"https://openalex.org/C1164432","wikidata":"https://www.wikidata.org/wiki/Q541182","display_name":"Numerical methods for ordinary differential equations","level":5,"score":0.4230746030807495},{"id":"https://openalex.org/C186219872","wikidata":"https://www.wikidata.org/wiki/Q955889","display_name":"Differential algebraic equation","level":4,"score":0.1474919617176056},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/15m1041341","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1041341","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},{"id":"pmh:oai:irdb.nii.ac.jp:01216:0000929051","is_oa":true,"landing_page_url":"https://kyutech.repo.nii.ac.jp/records/5256","pdf_url":null,"source":{"id":"https://openalex.org/S7407056385","display_name":"Institutional Repositories DataBase (IRDB)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184597095","host_organization_name":"National Institute of Informatics","host_organization_lineage":["https://openalex.org/I184597095"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Technical Report in Computer Science and Systems Engineering","raw_type":"technical report"},{"id":"pmh:oai:irdb.nii.ac.jp:01216:0000929350","is_oa":true,"landing_page_url":"https://kyutech.repo.nii.ac.jp/records/5557","pdf_url":null,"source":{"id":"https://openalex.org/S7407056385","display_name":"Institutional Repositories DataBase (IRDB)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184597095","host_organization_name":"National Institute of Informatics","host_organization_lineage":["https://openalex.org/I184597095"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal article"},{"id":"pmh:oai:kyutech.repo.nii.ac.jp:00005255","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"VoR"},{"id":"pmh:oai:research.chalmers.se:516791","is_oa":false,"landing_page_url":"https://research.chalmers.se/en/publication/516791","pdf_url":null,"source":{"id":"https://openalex.org/S4306402469","display_name":"Chalmers Research (Chalmers University of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I66862912","host_organization_name":"Chalmers University of Technology","host_organization_lineage":["https://openalex.org/I66862912"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""}],"best_oa_location":{"id":"pmh:oai:irdb.nii.ac.jp:01216:0000929051","is_oa":true,"landing_page_url":"https://kyutech.repo.nii.ac.jp/records/5256","pdf_url":null,"source":{"id":"https://openalex.org/S7407056385","display_name":"Institutional Repositories DataBase (IRDB)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184597095","host_organization_name":"National Institute of Informatics","host_organization_lineage":["https://openalex.org/I184597095"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Technical Report in Computer Science and Systems Engineering","raw_type":"technical report"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4934454854","display_name":null,"funder_award_id":"23540143","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320324693","display_name":"Kyushu Institute of Technology","ror":"https://ror.org/02278tr80"},{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W381275085","https://openalex.org/W1505080577","https://openalex.org/W1773817993","https://openalex.org/W2000130438","https://openalex.org/W2005012590","https://openalex.org/W2005061077","https://openalex.org/W2005248345","https://openalex.org/W2010652522","https://openalex.org/W2016300469","https://openalex.org/W2032171614","https://openalex.org/W2038417580","https://openalex.org/W2039044025","https://openalex.org/W2043577075","https://openalex.org/W2045105195","https://openalex.org/W2049161806","https://openalex.org/W2056578682","https://openalex.org/W2076082225","https://openalex.org/W2081214017","https://openalex.org/W2083153126","https://openalex.org/W2090704787","https://openalex.org/W2091960178","https://openalex.org/W2094680618","https://openalex.org/W2095595785","https://openalex.org/W2105028971","https://openalex.org/W2130016367","https://openalex.org/W2138249740","https://openalex.org/W2139120673","https://openalex.org/W2141264944","https://openalex.org/W2142107270","https://openalex.org/W2165271712","https://openalex.org/W2963397245","https://openalex.org/W4211077197","https://openalex.org/W4239868095","https://openalex.org/W4245463005","https://openalex.org/W4250750844"],"related_works":["https://openalex.org/W4245390618","https://openalex.org/W2071837188","https://openalex.org/W2048226115","https://openalex.org/W1980588826","https://openalex.org/W2087959462","https://openalex.org/W1992198790","https://openalex.org/W3176411509","https://openalex.org/W1487902215","https://openalex.org/W2095004805","https://openalex.org/W1982439384"],"abstract_inverted_index":{"We":[0,20,85],"propose":[1],"new":[2],"explicit":[3,100],"exponential":[4,26],"Runge--Kutta":[5,27],"methods":[6,28,35,63,96],"for":[7,40,57,71],"the":[8,23,67,92],"weak":[9,37,104],"approximation":[10],"of":[11,13,25,52,94,103],"solutions":[12],"stiff":[14],"It\u00f4":[15],"stochastic":[16],"differential":[17,60],"equations":[18],"(SDEs).":[19],"also":[21],"consider":[22],"use":[24],"in":[29,66],"combination":[30],"with":[31,44,97],"splitting":[32],"methods.":[33],"These":[34,62],"have":[36,82],"order":[38,53,105],"2":[39,54],"multidimensional,":[41],"noncommutative":[42],"SDEs":[43],"a":[45,72],"semilinear":[46,58],"drift":[47,78],"term,":[48],"whereas":[49],"they":[50],"are":[51,64],"or":[55],"3":[56],"ordinary":[59],"equations.":[61],"A-stable":[65],"mean":[68],"square":[69],"sense":[70],"scalar":[73],"linear":[74],"test":[75],"equation":[76],"whose":[77],"and":[79],"diffusion":[80],"terms":[81],"complex":[83],"coefficients.":[84],"carry":[86],"out":[87],"numerical":[88],"experiments":[89],"to":[90],"compare":[91],"performance":[93],"these":[95],"an":[98],"existing":[99],"stabilized":[101],"method":[102],"2.":[106]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":5}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}