New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations

DOI10.1007/S11075-018-0615-YMaRDI QIDQ2274162zbMATH OpenOpenAlexFDO

Authors Xiao Tang, Aiguo Xiao

Publication date 19 September 2019

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-018-0615-y

zbMATH Keywords

stiff stochastic differential equationsexplicit stabilized methodsweak second order

Mathematics Subject Classification ID

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)

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• S-ROCK methods for stiff Itô SDEs
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Second order Chebyshev methods based on orthogonal polynomials
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• Strong first order S-ROCK methods for stochastic differential equations
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• Weak second-order explicit stabilized methods for stiff stochastic differential equations
• \(A\)-stability and stochastic mean-square stability

Cited in

(5)

• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
• Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems

Describes a project that uses

Uses Software

• S-ROCK

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