Chebyshev Methods with Discrete Noise: the Tau-ROCK Methods

DOI10.4208/JCM.2009.10-M1004zbMath1224.65009OpenAlexW2109554228MaRDI QIDQ3071332

Assyr Abdulle, Yucheng Hu, Tie-Jun Li

Publication date: 5 February 2011

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

Full work available at URL: https://doi.org/10.4208/jcm.2009.10-m1004

zbMATH Keywords

stabilitynumerical experimentsstiff stochastic differential equationschemical reaction systemsRunge-Kutta Chebyshev methods

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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Chemical kinetics in thermodynamics and heat transfer (80A30) Numerical methods for stiff equations (65L04)

Related Items (7)

Explicit Methods for Stiff Stochastic Differential Equations ⋮ Optimal explicit stabilized postprocessed \(\tau\)-leap method for the simulation of chemical kinetics ⋮ Learning-based importance sampling via stochastic optimal control for stochastic reaction networks ⋮ Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks ⋮ Multilevel hybrid split-step implicit tau-leap ⋮ Automated importance sampling via optimal control for stochastic reaction networks: a Markovian projection-based approach ⋮ Slow-scale split-step tau-leap method for stiff stochastic chemical systems

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