Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

Kevin Burrage, Tianhai Tian

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16 Citations (Scopus)

Abstract

In this paper we discuss implicit methods based on stiffly accurate Runge-Kutta methods and splitting techniques for solving Stratonovich stochastic differential equations (SDEs). Two splitting techniques: the balanced splitting technique and the deterministic splitting technique, are used in this paper. We construct a two-stage implicit Runge-Kutta method with strong order 1.0 which is corrected twice and no update is needed. The stability properties and numerical results show that this approach is suitable for solving stiff SDEs.

Original languageEnglish
Title of host publicationComputer Physics Communications
Subtitle of host publicationConference on Computational Physics (CCP'2000); Gold Coast, Qld.; Australia; 3 December 2000 through 8 December 2000
Pages186-190
Number of pages5
Volume142
Edition1-3
DOIs
Publication statusPublished - 15 Dec 2001
EventConference on Computational Physics (CCP'2000) - Gold Coast, Qld., Australia
Duration: 3 Dec 20008 Dec 2000

Publication series

NameComputer Physics Communications
PublisherElsevier
ISSN (Print)0010-4655

Conference

ConferenceConference on Computational Physics (CCP'2000)
CountryAustralia
CityGold Coast, Qld.
Period3/12/008/12/00

Keywords

  • Runge-Kutta methods
  • Stability
  • Stiff accuracy
  • Stochastic differential equations

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