Effectiveness of implicit methods for stiff stochastic differential equations
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implicit methodsinvariant distributionmultiple time scalesmultiscalenumerical examplesstiff stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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(28)- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- Modeling fast diffusion processes in time integration of stiff stochastic differential equations
- Contrast-independent partially explicit time discretizations for multiscale flow problems
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- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
- Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Partially explicit time discretization for nonlinear time fractional diffusion equations
- Explicit methods for stiff stochastic differential equations
- scientific article; zbMATH DE number 6830743 (Why is no real title available?)
- High order integrator for sampling the invariant distribution of a class of parabolic stochastic PDEs with additive space-time noise
- Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
- An integration factor method for stochastic and stiff reaction-diffusion systems
- Numerical methods for stochastic partial differential equations with multiple scales
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Numerical methods for stochastic simulation: when stochastic integration meets geometric numerical integration
- Spectral Methods for Multiscale Stochastic Differential Equations
- Estimation of parameter sensitivities for stochastic reaction networks using tau-leap simulations
- Noise-induced transition in the Zeldovich–Semenov model with local and global bifurcations
- On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes
- Efficiency of a micro-macro acceleration method for scale-separated stochastic differential equations
- Weak backward error analysis for overdamped Langevin processes
- Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
- Optimal explicit stabilized postprocessed \(\tau\)-leap method for the simulation of chemical kinetics
- Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
- Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
- \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
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