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 - <p style="text-align: justify;">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.</p>