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  4. Explicit Stabilized Multirate Method For Stiff Stochastic Differential Equations
 
research article

Explicit Stabilized Multirate Method For Stiff Stochastic Differential Equations

Abdulle, Assyr  
•
de Souza, Giacomo Rosilho  
January 1, 2022
Siam Journal On Scientific Computing

Stabilized explicit methods are particularly efficient, for large systems of stiff stochastic differential equations (SDEs) due to their extended stability domain. However, they lose their efficiency when a severe stiffness is induced by very few "fast" degrees of freedom, as the stiff and nonstiff terms are evaluated concurrently. Therefore, inspired by [A. Abdulle, M. J. Grote, and G. Rosilho de Souza, Explicit stabilized multirate method for stiff differential equations, Math. Comp., in press, 2022], we introduce a stochastic modified equation whose stiffness depends solely on vi the "slow" terms. By integrating this modified equation with a stabilized explicit scheme, we devise a multirate method which overcomes the bottleneck caused by a few severely still terms and recovers the efficiency of stabilized schemes for large systems of nonlinear SDEs. The scheme is not based on any scale separation assumption of the SDE. Therefore, it is employable for problems stemming from the spatial discretization of stochastic parabolic partial differential equations on locally refined grids. The multirate scheme has strong Order 1/2, weak order 1, and its stability is proved on a model problem. Numerical experiments confirm the efficiency and accuracy of the scheme.

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Type
research article
DOI
10.1137/21M1439018
Web of Science ID

WOS:000863909200003

Author(s)
Abdulle, Assyr  
de Souza, Giacomo Rosilho  
Date Issued

2022-01-01

Publisher

SIAM PUBLICATIONS

Published in
Siam Journal On Scientific Computing
Volume

44

Issue

4

Start page

A1859

End page

A1883

Subjects

Mathematics, Applied

•

Mathematics

•

stiff equations

•

stochastic multirate methods

•

stabilized runge-kutta methods

•

explicit time integrators

•

local time-stepping

•

multiscale methods

•

numerical-methods

•

time

•

systems

•

integration

•

simulation

•

schemes

•

convergence

•

reduction

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANMC  
Available on Infoscience
October 24, 2022
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/191504
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