Stabilized methods for stiff stochastic systems

DOI10.1016/j.crma.2007.10.009zbMath1128.65004OpenAlexW2003425092MaRDI QIDQ2464278

Assyr Abdulle, Stéphane Cirilli

Publication date: 12 December 2007

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2007.10.009

zbMATH Keywords

stabilityWiener processesstochastic differential equationsexplicit methodsstiff stochastic systems

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) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (13)

Explicit Methods for Stiff Stochastic Differential Equations ⋮ An error corrected Euler-Maruyama method for stiff stochastic differential equations ⋮ Stabilized multilevel Monte Carlo method for stiff stochastic differential equations ⋮ Explicit Stabilized Multirate Method for Stiff Stochastic Differential Equations ⋮ Optimal explicit stabilized postprocessed \(\tau\)-leap method for the simulation of chemical kinetics ⋮ Numerical methods for stochastic partial differential equations with multiple scales ⋮ A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems ⋮ Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise ⋮ Split-step Milstein methods for multi-channel stiff stochastic differential systems ⋮ Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations ⋮ Multilevel hybrid split-step implicit tau-leap ⋮ An improved Milstein method for stiff stochastic differential equations ⋮ Improved Stabilized Multilevel Monte Carlo Method for Stiff Stochastic Differential Equations

Uses Software

• RKC
• RODAS
• S-ROCK

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• RKC: An explicit solver for parabolic PDEs
• Fourth Order Chebyshev Methods with Recurrence Relation
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Numerical Treatment of Stochastic Differential Equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Second order Chebyshev methods based on orthogonal polynomials

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