S-ROCK methods for stiff Itô SDEs

DOI10.4310/CMS.2008.v6.n4.a3zbMath1162.60330OpenAlexW2045105195MaRDI QIDQ1011858

Assyr Abdulle, Tie-Jun Li

Publication date: 14 April 2009

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2008.v6.n4.a3

zbMATH Keywords

fractional Brownian motionGaussian noisestochastic integralspatial covariance functionStochastic heat equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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