Weak second order explicit stabilized methods for stiff stochastic differential equations

Abdulle, Assyr, Vilmart, Gilles and Zygalakis, Konstantinos C. (2013) Weak second order explicit stabilized methods for stiff stochastic differential equations. SIAM Journal on Scientific Computing, 35 (4), A1792-A1814. (doi:10.1137/12088954X).

Record type: Article

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 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.

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