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Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

Published inBIT, vol. 53, no. 4, p. 827-840
Publication date2013
Abstract

We introduce two drift-diagonally-implicit and derivative-free integrators for stiff systems of Itô stochastic differential equations with general non-commutative noise which have weak order 2 and deterministic order 2, 3, respectively. The methods are shown to be mean-square A-stable for the usual complex scalar linear test problem with multiplicative noise and improve significantly the stability properties of the drift-diagonally-implicit methods previously introduced [K. Debrabant and A. Rößler, Appl. Num. Math., 59, 2009].

Keywords
  • Stiff SDEs
  • Drift-implicit stochastic methods
  • Mean-square stability
Affiliation entities Not a UNIGE publication
Citation (ISO format)
ABDULLE, Assyr, VILMART, Gilles, ZYGALAKIS, Konstantinos C. Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations. In: BIT, 2013, vol. 53, n° 4, p. 827–840. doi: 10.1007/s10543-013-0430-8
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Article (Accepted version)
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ISSN of the journal0006-3835
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