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Volume 27, Issue 2
Three-Stage Stiffly Accurate Runge-Kutta Methods for Stiff Stochastic Differential Equations

Peng Wang

Commun. Math. Res., 27 (2011), pp. 105-113.

Published online: 2021-05

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  • 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.

  • Keywords

stochastic differential equation, Runge-Kutta method, stability, stiff accuracy.

  • AMS Subject Headings

60H10, 60H35, 65L20

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{CMR-27-105, author = {Wang , Peng}, title = {Three-Stage Stiffly Accurate Runge-Kutta Methods for Stiff Stochastic Differential Equations}, journal = {Communications in Mathematical Research }, year = {2021}, volume = {27}, number = {2}, pages = {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.

}, issn = {2707-8523}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/cmr/19093.html} }
TY - JOUR T1 - Three-Stage Stiffly Accurate Runge-Kutta Methods for Stiff Stochastic Differential Equations AU - Wang , Peng JO - Communications in Mathematical Research VL - 2 SP - 105 EP - 113 PY - 2021 DA - 2021/05 SN - 27 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/cmr/19093.html KW - stochastic differential equation, Runge-Kutta method, stability, stiff accuracy. AB -

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.

Wang , Peng. (2021). Three-Stage Stiffly Accurate Runge-Kutta Methods for Stiff Stochastic Differential Equations. Communications in Mathematical Research . 27 (2). 105-113. doi:
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