A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

DOI10.1016/j.cam.2014.07.023zbMath1334.65014OpenAlexW2083997152MaRDI QIDQ457701

Sadegh Amiri, Mohammed Hosseini Ali Abadi

Publication date: 29 September 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.023

zbMATH Keywords

stiff stochastic differential equationsmean-square stabilitySDSRKsplit-drift SRKstochastic Runge-Kutta schemes

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ Efficiency of a Micro-Macro Acceleration Method for Scale-Separated Stochastic Differential Equations ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

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