The Mathematical Institute, University of Oxford, Eprints Archive

Second weak order explicit stabilized methods for stiff
stochastic differential equations

Abdulle, A. and Vilmart, G. and Zygalakis, K. C. (2012) Second weak order explicit stabilized methods for stiff
stochastic differential equations.
SIAM Journal on Scientific Computing . (Submitted)

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Abstract

We introduce a new family of explicit integrators for stiff Itˆo stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of onestep stabilized methods with extended stability domains and do not suffer from stepsize reduction that standard explicit methods face. The family is based on the classical stabilized methods of order two for deterministic problems and its construction relies on the strategy of modified equations recently introduced for SDEs. The convergence and the stability properties of the methods are analyzed. Numerical experiments, including applications to nonlinear SDEs and parabolic stochastic partial differential equations (SPDEs), are presented and confirm the theoretical results.

Item Type:Article
Subjects:D - G > General
Research Groups:Oxford Centre for Collaborative Applied Mathematics
ID Code:1534
Deposited By:Peter Hudston
Deposited On:04 Jul 2012 09:09
Last Modified:04 Jul 2012 09:09

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