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

DOI10.1016/J.JCP.2009.08.002zbMath1177.65018OpenAlexW2009354175MaRDI 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 examplesstability regionmultiplicative noisestiff stochastic differential equationchemical Langevin equationsfully implicit numerical method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• RODAS

Cites Work

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