Optimal explicit stabilized integrator of weak order one for stiff and ergodic stochastic differential equations
ContributorsAbdulle, Assyr; Almuslimani, Ibrahim; Vilmart, Gilles
Published inSIAM/ASA Journal on Uncertainty Quantification, vol. 6, no. 2, p. 937-964
Publication date2018
Abstract
Keywords
- Explicit stochastic methods
- Stabilized methods
- Postprocessor
- Invariant measure
- Ergodicity
- Orthogonal Runge–Kutta Chebyshev
- SK-ROCK
- PSK-ROCK
Affiliation
Research group
Citation (ISO format)
ABDULLE, Assyr, ALMUSLIMANI, Ibrahim, VILMART, Gilles. Optimal explicit stabilized integrator of weak order one for stiff and ergodic stochastic differential equations. In: SIAM/ASA Journal on Uncertainty Quantification, 2018, vol. 6, n° 2, p. 937–964. doi: 10.1137/17M1145859
Main files (1)
Article (Accepted version)
Identifiers
- PID : unige:105971
- DOI : 10.1137/17M1145859
ISSN of the journal2166-2525