S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
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Publication:3617200
DOI10.1137/070679375zbMath1159.60329OpenAlexW2105028971MaRDI QIDQ3617200
Assyr Abdulle, Stéphane Cirilli
Publication date: 27 March 2009
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/148981/files/s-rock.pdf
stochastic differential equationsRunge-Kutta methodsstiff problemsmean-square stabilityChebyshev methodsexplicit methods
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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