Scientific Article
previous document  unige:41956  next document
add to browser collection
Title

Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

Authors
Zygalakis, Konstantinos C.
Published in SIAM Journal on Scientific Computing. 2013, vol. 35, no. 4, p. A1792-A1814
Abstract We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of one-step stabilized methods with extended stability domains and do not suffer from the stepsize reduction faced by standard explicit methods. The family is based on the standard second order orthogonal Runge-Kutta Chebyshev methods (ROCK2) for deterministic problems. The convergence, and the mean-square and asymptotic stability properties of the methods are analyzed. Numerical experiments, including applications to nonlinear SDEs and parabolic stochastic partial differential equations are presented and confirm the theoretical results.
Keywords Stiff SDEsExplicit stochastic methodsStabilized methodsOrthogonal Runge-Kutta ChebyshevS-ROCK.
Identifiers
Full text
Citation
(ISO format)
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. https://archive-ouverte.unige.ch/unige:41956

263 hits

58 downloads

Update

Deposited on : 2014-11-18

Export document
Format :
Citation style :