Modeling fast diffusion processes in time integration of stiff stochastic differential equations

DOI10.1007/s42967-022-00188-zOpenAlexW4225409077WikidataQ115370597 ScholiaQ115370597MaRDI QIDQ2084923

Xiaoying Han, Habib N. Najm

Publication date: 13 October 2022

Published in: Communications on Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42967-022-00188-z

zbMATH Keywords

weak convergencemean-square convergencefast diffusionstiff stochastic differential equationlinear diffusion approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• An integration factor method for stochastic and stiff reaction-diffusion systems
• Model reduction of multi-scale chemical Langevin equations
• Simplified CSP analysis of a stiff stochastic ODE system
• Nested stochastic simulation algorithms for chemical kinetic systems with multiple time scales
• S-ROCK methods for stiff Itô SDEs
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Hadamard inverses, square roots and products of almost semidefinite matrices
• Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
• The truncated Milstein method for stochastic differential equations with commutative noise
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Analysis of the computational singular perturbation reduction method for chemical kinetics
• Higher order corrections in the approximation of low-dimensional manifolds and the construction of simplified problems with the CSP method
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• Explicit Methods for Stiff Stochastic Differential Equations
• Chemical Master versus Chemical Langevin for First-Order Reaction Networks
• Modeling and Simulating Chemical Reactions
• Asymptotic Solution of Stiff PDEs with the CSP Method: The Reaction Diffusion Equation
• Balanced Implicit Methods for Stiff Stochastic Systems
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Quasi steady state and partial equilibrium approximations: their relation and their validity
• IMPLICIT SIMULATION METHODS FOR STOCHASTIC CHEMICAL KINETICS
• Implicit Taylor methods for stiff stochastic differential equations
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Modeling fast diffusion processes in time integration of stiff stochastic differential equations