Explicit Methods for Stiff Stochastic Differential Equations

DOI10.1007/978-3-642-21943-6_1zbMath1246.65007MaRDI QIDQ2897255

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

stability; numerical examples; method of lines; stiff stochastic differential equations; Chebyshev methods; explicit methods; Euler-Maruyama method

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65M20: Method of lines for initial value and initial-boundary value problems involving PDEs

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