A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

DOI10.1016/J.CAM.2014.07.023zbMath1334.65014OpenAlexW2083997152MaRDI QIDQ457701

Sadegh Amiri, Mohammed Hosseini Ali Abadi

Publication date: 29 September 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.023

zbMATH Keywords

stiff stochastic differential equationsmean-square stabilitySDSRKsplit-drift SRKstochastic Runge-Kutta schemes

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mean-square stability analysis of numerical schemes for stochastic differential systems
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• A class of split-step balanced methods for stiff stochastic differential equations
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• A note on the balanced method
• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• A step size control algorithm for the weak approximation of stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
• Solving Ordinary Differential Equations I
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• The composite Euler method for stiff stochastic differential equations
• Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

This page was built for publication: A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems