The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations

DOI10.1016/j.jcp.2009.08.002zbMath1177.65018MaRDI QIDQ1038059

Soumyendu Raha, Nigam Chandra Parida, Sk. Safique Ahmad

Publication date: 17 November 2009

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2009.08.002

zbMATH Keywords

numerical examples; stability region; multiplicative noise; stiff stochastic differential equation; chemical Langevin equations; fully implicit numerical method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method, A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

Uses Software

• RODAS

Cites Work

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