Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations

DOI10.1137/17M1145859zbMath1392.65013arXiv1708.08145OpenAlexW3104981171WikidataQ129626470 ScholiaQ129626470MaRDI QIDQ3176253

Assyr Abdulle, Ibrahim Almuslimani, Gilles Vilmart

Publication date: 19 July 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.08145

zbMATH Keywords

ergodicityinvariant measurestabilized methodspostprocessorexplicit stochastic methodsorthogonal Runge-Kutta ChebyshevPSK-ROCKSK-ROCK

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

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Uses Software

• RODAS
• S-ROCK
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Cites Work

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