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Second weak order explicit stabilized methods for stiff stochastic differential equations

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 S...

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A. Abdulle More by this author
G. Vilmart More by this author
K. C. Zygalakis More by this author
Publication date:
2012
URN:
uuid:8626650a-a67d-4027-beb7-2a5ad433b7e6
Local pid:
oai:eprints.maths.ox.ac.uk:1534

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