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Issues in the Software Implementation of Stochastic Numerical Runge–Kutta

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Distributed Computer and Communication Networks (DCCN 2018)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 919))

Abstract

This paper discusses the application of stochastic Runge-Kutta-like numerical methods with weak and strong convergences for systems of stochastic differential equations in Itô form. At the beginning a brief overview of available publications about stochastic numerical methods and information from the theory of stochastic differential equations are given. Then the difficulties that arise when trying to implement stochastic numerical methods and motivate to use source code generation are described. We discuss some implementation details, such as program languages (Python, Julia) and libraries (Jinja2, Numpy). Also the link to the repository with source code is provided in the article.

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Acknowledgments

The work is partially supported by Russian Foundation for Basic Research (RFBR) grants No 16-07-00556. Also the publication was prepared with the support of the “RUDN University Program 5-100”.

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Authors and Affiliations

  1. Department of Applied Probability and Informatics, Peoples’ Friendship University of Russia (RUDN University), 6 Miklukho-Maklaya str., Moscow, 117198, Russia

    Migran N. Gevorkyan, Anastasiya V. Demidova, Anna V. Korolkova & Dmitry S. Kulyabov

  2. Laboratory of Information Technologies, Joint Institute for Nuclear Research, 6 Joliot-Curie, Dubna, Moscow region, 141980, Russia

    Dmitry S. Kulyabov

Authors
  1. Migran N. Gevorkyan
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  2. Anastasiya V. Demidova
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  3. Anna V. Korolkova
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  4. Dmitry S. Kulyabov
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Corresponding author

Correspondence to Dmitry S. Kulyabov .

Editor information

Editors and Affiliations

  1. V.A. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    Vladimir M. Vishnevskiy

  2. V.A. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

    Dmitry V. Kozyrev

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Gevorkyan, M.N., Demidova, A.V., Korolkova, A.V., Kulyabov, D.S. (2018). Issues in the Software Implementation of Stochastic Numerical Runge–Kutta. In: Vishnevskiy, V., Kozyrev, D. (eds) Distributed Computer and Communication Networks. DCCN 2018. Communications in Computer and Information Science, vol 919. Springer, Cham. https://doi.org/10.1007/978-3-319-99447-5_46

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  • DOI: https://doi.org/10.1007/978-3-319-99447-5_46

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