Year: 2011
Author: Peng Wang
Communications in Mathematical Research , Vol. 27 (2011), Iss. 2 : pp. 105–113
Abstract
In this paper we discuss diagonally implicit and semi-implicit methods based on the three-stage stiffly accurate Runge-Kutta methods for solving Stratonovich stochastic differential equations (SDEs). Two methods, a three-stage stiffly accurate semi-implicit (SASI3) method and a three-stage stiffly accurate diagonally implicit (SADI3) method, are constructed in this paper. In particular, the truncated random variable is used in the implicit method. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of stiff SDEs.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2011-CMR-19093
Communications in Mathematical Research , Vol. 27 (2011), Iss. 2 : pp. 105–113
Published online: 2011-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 9
Keywords: stochastic differential equation Runge-Kutta method stability stiff accuracy.