S-ROCK
S-ROCK: Chebyshev methods for stiff stochastic differential equations. We present and analyze a new class of numerical methods for the solution of stiff stochastic differential equations (SDEs). These methods, called S-ROCK (for stochastic orthogonal Runge-Kutta Chebyshev), are explicit and of strong order 1 and possess large stability domains in the mean-square sense. For mean-square stable stiff SDEs, they are much more efficient than the standard explicit methods proposed so far for stochastic problems and give significant speed improvement. The explicitness of the S-ROCK methods allows one to handle large systems without linear algebra problems usually encountered with implicit methods. Numerical results and comparisons with existing methods are reported.
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References in zbMATH (referenced in 20 articles )
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Sorted by year (- Guo, Qian; Qiu, Mingming; Mitsui, Taketomo: Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations (2016)
- Haghighi, Amir; Hosseini, Seyed Mohammad; Rößler, Andreas: Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems (2016)
- Reshniak, V.; Khaliq, A.Q.M.; Voss, D.A.; Zhang, G.: Split-step Milstein methods for multi-channel stiff stochastic differential systems (2015)
- Wang, Peng: A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise (2015)
- Burrage, Kevin; Lythe, Grant: Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations (2014)
- Komori, Yoshio; Burrage, Kevin: A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems (2014)
- Martín-Vaquero, J.; Khaliq, A.Q.M.; Kleefeld, B.: Stabilized explicit Runge-Kutta methods for multi-asset American options (2014)
- Abdulle, Assyr; Vilmart, Gilles: PIROCK: A swiss-knife partitioned implicit-explicit orthogonal Runge-Kutta Chebyshev integrator for stiff diffusion-advection-reaction problems with or without noise (2013)
- Abdulle, Assyr; Vilmart, Gilles; Zygalakis, Konstantinos C.: Weak second-order explicit stabilized methods for stiff stochastic differential equations (2013)
- Abdulle, A.; Vilmart, G.; Zygalakis, K.C.: Mean-square $A$-stable diagonally drift-implicit integrators of weak second order for stiff It^o stochastic differential equations (2013)
- Abdulle, A.; Pavliotis, G.A.: Numerical methods for stochastic partial differential equations with multiple scales (2012)
- Abdulle, Assyr; Cohen, David; Vilmart, Gilles; Zygalakis, Konstantinos C.: High weak order methods for stochastic differential equations based on modified equations (2012)
- Alcock, Jamie; Burrage, Kevin: Stable strong order 1.0 schemes for solving stochastic ordinary differential equations (2012)
- Komori, Yoshio; Burrage, Kevin: Weak second order S-ROCK methods for Stratonovich stochastic differential equations (2012)
- Dana, Saswati; Raha, Soumyendu: Physically consistent simulation of mesoscale chemical kinetics: The non-negative FIS-$\alpha$ method (2011)
- Zbinden, Christophe J.: Partitioned Runge-Kutta-Chebyshev methods for diffusion-advection-reaction problems (2011)
- Tao, Molei; Owhadi, Houman; Marsden, Jerrold E.: Nonintrusive and structure preserving multiscale integration of stiff ODEs, SDEs, and Hamiltonian systems with hidden slow dynamics via flow averaging (2010)
- Wang, P.; Liu, Z.: Stabilized Milstein type methods for stiff stochastic systems (2009)
- Abdulle, Assyr; Cirilli, Stephane: S-ROCK: Chebyshev methods for stiff stochastic differential equations (2008)
- Abdulle, Assyr; Cirilli, Stéphane: Stabilized methods for stiff stochastic systems (2007)