QQ客服 官方微博 反馈留言

	S-ROCK METHODS FOR STIFF ITO SDEs
	Abdulle, Assyr ; Li, Tiejun
	2008
关键词	Stiff stochastic differential equations Multiscale Systems Explicit stochastic methods Runge-Kutta Chebyshev methods Stiff chemical Langevin equation STOCHASTIC DIFFERENTIAL-EQUATIONS RUNGE-KUTTA METHODS CHEBYSHEV METHODS STABILITY EXPLICIT
英文摘要	In this paper, we present a class of explicit numerical methods for stiff Ito stochastic differential equations (SDEs). These methods are a simple to program and to use as the well-known Euler-Maruyama method, but much more efficient for stiff SDEs. For such problems, it is well known that standard explicit methods face step-size reduction. While semi-implicit methods can avoid these problems at the cost of solving (possibly large) nonlinear systems, we show that the step-size reduction phenomena can be reduced significantly for explicit methods by using stabilization techniques. Stabilized explicit numerical methods called S-ROCK (for stochastic orthogonal Runge-Kutta Chebyshev) have been introduced in [C. R. Acad. Sci. Paris, 345(10), 2007] as an alternative to (semi-) implicit methods for the solution of stiff stochastic systems. in this paper we discuss a genuine Ito version of the S-ROCK methods which avoid the use of transformation formulas from Stratonovich to Ito calculus. This is important for many applications. We present two families of methods for one-dimensional and multi-dimensional Wiener processes. We show that for stiff problems, significant improvement over classical explicit methods can be obtained. Convergence and stability properties of the methods are discussed and numerical examples as well as applications to the simulation of stiff chemical Langevin equations are presented.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000262867400003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Mathematics, Applied; SCI(E); 23; ARTICLE; 4; 845-868; 6
语种	英语
出处	SCI
出版者	communications in mathematical sciences
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/397080]
专题	数学科学学院
推荐引用方式 GB/T 7714	Abdulle, Assyr,Li, Tiejun. S-ROCK METHODS FOR STIFF ITO SDEs. 2008-01-01.

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。