Weak second-order explicit stabilized methods for stiff stochastic differential equations
asymptotic stabilityexplicit stochastic methodsmean-square stabilitynumerical experimentssecond-order orthogonal Runge-Kutta-Chebyshev methodsstabilized methodssystems of stiff stochastic differential equationsweak second-order convergence
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)
Second-order orthogonal Runge-Kutta-Chebyshev methods for stiff deterministic ordinary differential equations are generalized and modified to apply to systems of stiff stochastic differential equations (SSDE) of the form NEWLINE\[NEWLINEdX(t)= f(X(t))\,dt+ \sum^m_{r=1} g^r(X(t))\,dW_r(t),\quad X(0)= X_0,NEWLINE\]NEWLINE where the \(W_r(t)\) are independent one-dimensional Wiener processes. An explicit method, denoted S-ROCK2, is derived and shown to have weak second-order convergence. Its numerical asymptotic stability domain and its numerical mean-square stability domain are found, and its stability properties are shown to compare favorably to those of other methods for SSDE. Results of numerical experiments are presented that demonstrate the advantages of S-ROCK2.
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