Explicit methods for stiff stochastic differential equations

DOI10.1007/978-3-642-21943-6_1MaRDI QIDQ2897255zbMATHOpenAlexFDO

Authors Assyr Abdulle

Publication date 10 July 2012

Published in Numerical Analysis of Multiscale Computations (Search for Journal in Brave)

Full work available at URL https://infoscience.epfl.ch/record/182124/files/banff_stabilized_stocj_abd.pdf

zbMATH Keywords

numerical examplesstabilitymethod of linesexplicit methodsstiff stochastic differential equationsEuler-Maruyama methodChebyshev methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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Cited in

(17)

• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Partially explicit time discretization for nonlinear time fractional diffusion equations
• Chebyshev methods with discrete noise: the \(\tau\)-rock methods
• Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
• Explicit stabilized multirate method for stiff stochastic differential equations
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Stabilized methods for stiff stochastic systems
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• An integration factor method for stochastic and stiff reaction-diffusion systems
• Contrast-independent partially explicit time discretizations for multiscale wave problems
• Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations
• Partially explicit splitting scheme with explicit-implicit-null method for nonlinear multiscale flow problems
• scientific article; zbMATH DE number 6692864 (Why is no real title available?)
• Multirate partially explicit scheme for multiscale flow problems
• Contrast-independent partially explicit time discretizations for multiscale flow problems
• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
• Explicit integration of stiff stochastic differential equations via an efficient implementation of stochastic computational singular perturbation

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