## Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

- Assyr Abdulle, Gilles Vilmart, Konstantinos C. Zygalakis
- SIAM J. Scientific Computing
- 2013

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@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} }

- Published 2012 in J. Computational Applied Mathematics
DOI:10.1016/j.cam.2012.01.033

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

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