Explicit Stabilized Multirate Method for Stiff Stochastic Differential Equations
DOI10.1137/21M1439018zbMath1491.60115arXiv2010.15193WikidataQ115246852 ScholiaQ115246852MaRDI QIDQ5088788
Giacomo Rosilho de Souza, Assyr Abdulle
Publication date: 13 July 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.15193
stiff equationslocal time-steppingexplicit time integratorsstabilized Runge-Kutta methodsstochastic multirate methods
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numerical methods for stochastic partial differential equations with multiple scales
- Mathematical aspects of discontinuous Galerkin methods.
- Multirate extrapolation methods for differential equations with different time scales
- Multirate generalized additive Runge Kutta methods
- Multirate linear multistep methods
- A multirate time stepping strategy for stiff ordinary differential equations
- Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems
- Convergence properties of the Runge-Kutta-Chebyshev method
- RKC: An explicit solver for parabolic PDEs
- The role of dimerization in noise reduction of simple genetic networks
- Stabilized methods for stiff stochastic systems
- On HMM-like integrators and projective integration methods for systems with multiple time scales
- Analysis of the heterogeneous multiscale method for ordinary differential equations
- Numerical techniques for multi-scale dynamical systems with stochastic effects
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Analysis of Multiscale Methods for Stochastic Dynamical Systems with Multiple Time Scales
- Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
- A Generalized-Structure Approach to Additive Runge--Kutta Methods
- Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
- Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations
- Split Runge-Kutta method for simultaneous equations
- S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
- Numerical Solution of Systems of Ordinary Differential Equations Separated into Subsystems
- An Implementation of a Class of Stabilized Explicit Methods for the Time Integration of Parabolic Equations
- On the Internal Stability of Explicit,m-Stage Runge-Kutta Methods for Largem-Values
- Stability Properties of Backward Euler Multirate Formulas
- Projective Methods for Stiff Differential Equations: Problems with Gaps in Their Eigenvalue Spectrum
- Boosted Hybrid Method for Solving Chemical Reaction Systems with Multiple Scales in Time and Population Size
- Spectral Methods for Multiscale Stochastic Differential Equations
- Explicit stabilized multirate method for stiff differential equations
- Coupled Multirate Infinitesimal GARK Schemes for Stiff Systems with Multiple Time Scales
- A Class of Multirate Infinitesimal GARK Methods
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Heterogeneous multiscale methods for stiff ordinary differential equations
- Variance Reduction for the Equation‐Free Simulation of Multiscale Stochastic Systems
- Analysis of multiscale methods for stochastic differential equations
- Multirate partitioned Runge-Kutta methods
