S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
We present and analyze a new class of numerical methods for the solution of stiff stochastic differential equations (SDEs). These methods, called S-ROCK (for stochastic orthogonal Runge–Kutta Chebyshev), are explicit and of strong order 1 and possess large stability domains in the mean-square sense. For mean-square stable stiff SDEs, they are much more efficient than the standard explicit metho...
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Multiscale differential equations arise in the modeling of many important problems in the science and engineering. Numerical solvers for such problems have been extensively studied in the deterministic case. Here, we discuss numerical methods for (mean-square stable) stiff stochastic differential equations. Standard explicit methods, as for example the EulerMaruyama method, face severe stepsize...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2008
ISSN: 1064-8275,1095-7197
DOI: 10.1137/070679375