Weak second order S-ROCK methods for Stratonovich stochastic differential equations

@article{Komori2012WeakSO,
  title={Weak second order S-ROCK methods for Stratonovich stochastic differential equations},
  author={Yoshio Komori and Kevin Burrage},
  journal={J. Computational Applied Mathematics},
  year={2012},
  volume={236},
  pages={2895-2908}
}
It is well known that the numerical solution of sti ff stochastic ordinary di fferential equations leads to a step size reduction when explicit methods are used. This has led to a plethora of implicit or semi-implicit methods with a wide variety of stability properties. However, for sti ff stochastic problems in which the eigenvalues of a drift term lie near the negative real axis, such as those arising from stochastic partial di fferential equations, explicit methods with extended stability… CONTINUE READING