Explicit Integration of Stiff Stochastic Differential Equations via an Efficient Implementation of Stochastic Computational Singular Perturbation
DOI10.4208/cicp.OA-2018-0138zbMath1473.34042OpenAlexW2912609553WikidataQ128465515 ScholiaQ128465515MaRDI QIDQ5161425
Lijin Wang, Yanzhao Cao, Sau-Hai Lam
Publication date: 29 October 2021
Published in: Communications in Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/cicp.oa-2018-0138
stochastic Davis-Skodje modelcatalysis modelnumerical integrations of SDEs with stiffnessquasi-steady state approachstochastic computational singular perturbationstochastic fast-slow stiff differential equations systems
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30) Singular perturbations for ordinary differential equations (34E15) Multiple scale methods for ordinary differential equations (34E13)
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