The University of Southampton
University of Southampton Institutional Repository

Weak second order explicit stabilized methods for stiff stochastic differential equations

Weak second order explicit stabilized methods for stiff stochastic differential equations
Weak second order explicit stabilized methods for stiff stochastic differential equations
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.
1064-8275
A1792-A1814
Abdulle, Assyr
ec277957-177a-4def-845a-d627d299238b
Vilmart, Gilles
60f6f7c2-9a15-41cd-9397-98bdd8800301
Zygalakis, Konstantinos C.
a330d719-2ccb-49bd-8cd8-d06b1e6daca6
Abdulle, Assyr
ec277957-177a-4def-845a-d627d299238b
Vilmart, Gilles
60f6f7c2-9a15-41cd-9397-98bdd8800301
Zygalakis, Konstantinos C.
a330d719-2ccb-49bd-8cd8-d06b1e6daca6

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.

Full text not available from this repository.

More information

Published date: 2013
Organisations: Applied Mathematics

Identifiers

Local EPrints ID: 355728
URI: https://eprints.soton.ac.uk/id/eprint/355728
ISSN: 1064-8275
PURE UUID: 5da6f9a7-0d1d-4150-b626-2dd43e27ac3e

Catalogue record

Date deposited: 04 Sep 2013 10:24
Last modified: 18 Jul 2017 03:45

Export record

Altmetrics

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of https://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×