Weak second-order explicit stabilized methods for stiff stochastic differential equations

DOI10.1137/12088954XMaRDI QIDQ2855645zbMATH OpenOpenAlexFDO

Authors Assyr Abdulle, Gilles Vilmart, Konstantinos C. Zygalakis

Publication date 28 October 2013

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/12088954x

zbMATH Keywords

asymptotic stabilityexplicit stochastic methodsmean-square stabilitynumerical experimentssecond-order orthogonal Runge-Kutta-Chebyshev methodsstabilized methodssystems of stiff stochastic differential equationsweak second-order convergence

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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 methods for stiff equations (65L04) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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(32)

• S-ROCK methods for stiff Itô SDEs
• Uniformly accurate schemes for drift-oscillatory stochastic differential equations
• New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
• S-ROCK methods for stochastic delay differential equations with one fixed delay
• Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
• Stabilized methods for stiff stochastic systems
• Mixed-precision explicit stabilized Runge-Kutta methods for single- and multi-scale differential equations
• A fully adaptive explicit stabilized integrator for advection-diffusion-reaction problems
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Explicit methods for stiff stochastic differential equations
• Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• PIROCK: A swiss-knife partitioned implicit-explicit orthogonal Runge-Kutta Chebyshev integrator for stiff diffusion-advection-reaction problems with or without noise
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• Explicit stabilized multirate method for stiff stochastic differential equations
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Improved stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Convergence analysis of explicit stabilized integrators for parabolic semilinear stochastic PDEs
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Optimal explicit stabilized postprocessed \(\tau\)-leap method for the simulation of chemical kinetics
• Conservative stabilized Runge-Kutta methods for the Vlasov-Fokker-Planck equation
• Weak approximation schemes for SDEs with super-linearly growing coefficients
• Weak convergence of the split-step backward Euler method for stochastic delay integro-differential equations
• Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations

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Uses Software

• S-ROCK

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