Explicit methods for stiff stochastic differential equations

DOI10.1007/978-3-642-21943-6_1zbMATH Open1246.65007OpenAlexW1512467642MaRDI QIDQ2897255FDOQ2897255

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

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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)

• Partially explicit time discretization for nonlinear time fractional diffusion equations
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Contrast-independent partially explicit time discretizations for multiscale flow problems
• Chebyshev methods with discrete noise: the \(\tau\)-rock methods
• Partially explicit splitting scheme with explicit-implicit-null method for nonlinear multiscale flow problems
• Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations
• Multirate partially explicit scheme for multiscale flow problems
• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
• Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
• Explicit stabilized multirate method for stiff stochastic differential equations
• Contrast-independent partially explicit time discretizations for multiscale wave problems
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• An integration factor method for stochastic and stiff reaction-diffusion systems
• Stabilized methods for stiff stochastic systems
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Title not available (Why is that?)
• Explicit integration of stiff stochastic differential equations via an efficient implementation of stochastic computational singular perturbation

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