A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

DOI10.1016/J.CAM.2014.07.023MaRDI QIDQ457701zbMATHzbMATHOpenAlexFDO

Authors Sadegh Amiri, S. Mohammad Hosseini

Publication date 29 September 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.07.023

zbMATH Keywords

mean-square stabilitystiff stochastic differential equationsSDSRKsplit-drift SRKstochastic Runge-Kutta schemes

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cited in

(7)

• Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
• Efficiency of a micro-macro acceleration method for scale-separated stochastic differential equations
• The direct Richardson \(p\)th order (DRp) schemes: a new class of time integration schemes for stochastic differential equations
• Study on split-step Rosenbrock type method for stiff stochastic differential systems

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