Effectiveness of Implicit Methods for Stiff Stochastic Differential Equations

Effectiveness of Implicit Methods for Stiff Stochastic Differential Equations

Year:    2008

Communications in Computational Physics, Vol. 3 (2008), Iss. 2 : pp. 295–307

Abstract

In this paper we study the behavior of a family of implicit numerical methods applied to stochastic differential equations with multiple time scales. We show by a combination of analytical arguments and numerical examples that implicit methods in general fail to capture the effective dynamics at the slow time scale. This is due to the fact that such implicit methods cannot correctly capture non-Dirac invariant distributions when the time step size is much larger than the relaxation time of the system. 

You do not have full access to this article.

Already a Subscriber? Sign in as an individual or via your institution

Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/2008-CiCP-7854

Communications in Computational Physics, Vol. 3 (2008), Iss. 2 : pp. 295–307

Published online:    2008-01

AMS Subject Headings:    Global Science Press

Copyright:    COPYRIGHT: © Global Science Press

Pages:    13

Keywords: