The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations

DOI10.1016/j.jcp.2009.08.002zbMath1177.65018MaRDI QIDQ1038059

Soumyendu Raha, Sk. Safique Ahmad, Nigam Chandra Parida

Publication date: 17 November 2009

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2009.08.002

zbMATH Keywords

numerical examples; stability region; multiplicative noise; stiff stochastic differential equation; chemical Langevin equations; fully implicit numerical method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method, Split-step Milstein methods for multi-channel stiff stochastic differential systems, Implicit numerical solutions for solving stochastic differential equations with jumps, The truncated Milstein method for stochastic differential equations with commutative noise, A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise, A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise

Uses Software

• RODAS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adaptive stepsize based on control theory for stochastic differential equations
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• A note on the balanced method
• A survey of numerical methods for stochastic differential equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• A review on stochastic differential equations for applications in hydrology
• General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T, \mu,\mathbb{R}^d)\)]
• Mean-square stability of numerical schemes for stochastic differential systems
• \(A\)-stability and stochastic mean-square stability
• A time integration algorithm for flexible mechanism dynamics: The DAE \(\alpha\)-method
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• Deterministic and stochastic Duffing-van der Pol oscillators are non-explosive
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
• Explorations of a family of stochastic Newmark methods in engineering dynamics
• Numerical methods for strong solutions of stochastic differential equations: an overview
• The Stochastic$\alpha$ Method: A Numerical Method for Simulation of Noisy Second Order Dynamical Systems
• A Time Integration Algorithm for Structural Dynamics With Improved Numerical Dissipation: The Generalized-α Method
• Solving constrained mechanical systems by the family of Newmark and α-methods
• Approximate Integration of Stochastic Differential Equations
• Applications of the balanced method to stochastic differential equations in filtering
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Balanced Milstein Methods for Ordinary SDEs
• Implicit Taylor methods for stiff stochastic differential equations