New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations

DOI10.1007/s11075-018-0615-yOpenAlexW2898477976MaRDI QIDQ2274162

Ai-Guo Xiao, Xiao Tang

Publication date: 19 September 2019

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-018-0615-y

zbMATH Keywords

stiff stochastic differential equationsexplicit stabilized methodsweak second order

Mathematics Subject Classification ID

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)

Related Items (1)

Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching

Uses Software

• S-ROCK

Cites Work

• Unnamed Item
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• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
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• Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Second order Chebyshev methods based on orthogonal polynomials

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