@Article{CiCP-25-5,
author = {},
title = {Explicit Integration of Stiff Stochastic Differential Equations via an Efficient Implementation of Stochastic Computational Singular Perturbation},
journal = {Communications in Computational Physics},
year = {2019},
volume = {25},
number = {5},
pages = {1523--1546},
abstract = {<p style="text-align: justify;">Numerical integration of stiff stochastic differential equations based on
stochastic computational singular perturbation (SCSP) was recently developed in [62].
In this paper, a modified stochastic computational singular perturbation (MSCSP)
method is considered. Similar to what was proposed in [26] for deterministic chemical
reaction systems, the current study applies the sensitivity derivatives of the forcing
terms with respect to the state variables to measure the reaction scales, which leads
to a quasi-steady state equation for the fast species. This yields explicit large-step integrators for stochastic fast-slow stiff differential equations systems, which removes
the expensive eigen-calculations of the standard SCSP integrators. The efficiency of
the MSCSP integrators is demonstrated with the benchmark stochastic Davis-Skodje
model and a nonlinear catalysis model under certain stochastic disturbances.</p>},
issn = {1991-7120},
doi = {https://doi.org/10.4208/cicp.OA-2018-0138},
url = {https://global-sci.com/article/79931/explicit-integration-of-stiff-stochastic-differential-equations-via-an-efficient-implementation-of-stochastic-computational-singular-perturbation}
}