Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
Contributeurs/tricesAbdulle, Assyr; Vilmart, Gilles ; Zygalakis, Konstantinos C.
Publié dansSIAM journal on scientific computing, vol. 35, no. 4, p. A1792-A1814
Date de publication2013
Résumé
Mots-clés
- Stiff SDEs
- Explicit stochastic methods
- Stabilized methods
- Orthogonal Runge-Kutta Chebyshev
- S-ROCK.
Structure d'affiliation Pas une publication de l'UNIGE
Citation (format ISO)
ABDULLE, Assyr, VILMART, Gilles, ZYGALAKIS, Konstantinos C. Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations. In: SIAM journal on scientific computing, 2013, vol. 35, n° 4, p. A1792–A1814. doi: 10.1137/12088954X
Fichiers principaux (1)
Article (Accepted version)
Identifiants
- PID : unige:41956
- DOI : 10.1137/12088954X
ISSN du journal1064-8275