Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

DOI10.1007/s10543-013-0430-8zbMath1367.65011OpenAlexW2142107270MaRDI QIDQ2434943

Gilles Vilmart, Assyr Abdulle, Konstantinos C. Zygalakis

Publication date: 3 February 2014

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-013-0430-8

zbMATH Keywords

stiff systemsmean-square stabilityItô stochastic differential equationsdrift-implicit stochastic methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

Related Items (8)

Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations ⋮ PIROCK: A swiss-knife partitioned implicit-explicit orthogonal Runge-Kutta Chebyshev integrator for stiff diffusion-advection-reaction problems with or without noise ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations ⋮ New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise

Uses Software

• RODAS
• S-ROCK

Cites Work

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• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• S-ROCK methods for stiff Itô SDEs
• \(A\)-stability and stochastic mean-square stability
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
• High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Solving Ordinary Differential Equations I
• Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Solving Ordinary Differential Equations II
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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