Explicit Methods for Stiff Stochastic Differential Equations

DOI10.1007/978-3-642-21943-6_1zbMath1246.65007OpenAlexW1512467642MaRDI QIDQ2897255

Assyr Abdulle

Publication date: 10 July 2012

Published in: Numerical Analysis of Multiscale Computations (Search for Journal in Brave)

Full work available at URL: https://infoscience.epfl.ch/record/182124/files/banff_stabilized_stocj_abd.pdf

zbMATH Keywords

stabilitynumerical examplesmethod of linesstiff stochastic differential equationsChebyshev methodsexplicit methodsEuler-Maruyama method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Related Items (6)

Contrast-independent partially explicit time discretizations for multiscale flow problems ⋮ Contrast-independent partially explicit time discretizations for multiscale wave problems ⋮ An integration factor method for stochastic and stiff reaction-diffusion systems ⋮ Multirate Partially Explicit Scheme for Multiscale Flow Problems ⋮ Partially explicit time discretization for nonlinear time fractional diffusion equations ⋮ Modeling fast diffusion processes in time integration of stiff stochastic differential equations

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