Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

Assyr Abdulle, Gilles Vilmart, Konstantinos C. Zygalakis

Research output: Contribution to journalArticlepeer-review

21 Scopus citations

Abstract

We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of one-step stabilized methods with extended stability domains and do not suffer from the step size reduction faced by standard explicit methods. The family is based on the standard second order orthogonal Runge-Kutta-Chebyshev (ROCK2) methods for deterministic problems. The convergence, meansquare, and asymptotic stability properties of the methods are analyzed. Numerical experiments, including applications to nonlinear SDEs and parabolic stochastic partial differential equations are presented and confirm the theoretical results. © 2013 Society for Industrial and Applied Mathematics.
Original languageEnglish (US)
Pages (from-to)A1792-A1814
Number of pages1
JournalSIAM Journal on Scientific Computing
Volume35
Issue number4
DOIs
StatePublished - Jan 2013
Externally publishedYes

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