Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Weak second order explicit stabilized methods for stiff stochastic differential equations
 
research article

Weak second order explicit stabilized methods for stiff stochastic differential equations

Abdulle, Assyr  
•
Vilmart, Gilles  
•
Zygalakis, Konstantinos  
2013
SIAM Journal on Scientific Computing

We introduce a new family of explicit integrators for stiff Ito 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 step size reduction faced by standard explicit methods. The family is based on the standard second order orthogonal Runge-Kutta-Chebyshev (ROCK2) methods for deterministic problems. The convergence, 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.

  • Files
  • Details
  • Metrics
Loading...
Thumbnail Image
Name

SROCK2n_abd_vil_zyg.pdf

Access type

openaccess

Size

1.03 MB

Format

Adobe PDF

Checksum (MD5)

f732208465250c41c811e41f92d3d838

Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés