A Practical Splitting Method for Stiff SDEs with Applications to Problems with Small Noise

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Publication:5454234

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DOI10.1137/060667724zbMath1135.60043OpenAlexW1981827363MaRDI QIDQ5454234

Hector D. Ceniceros, George O. Mohler

Publication date: 28 March 2008

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/55ee3c7c724652b746b363115804d9c08d68378f

zbMATH Keywords

weak convergence stochastic differential equations multistep methods Langevin equations mean-square convergence Hilliard equation IMEX methods conservative phase field models cahn

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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