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Comptes Rendus Mathematique

Volumn 345, Issue 10, 2007, Pages 593-598

Stabilized methods for stiff stochastic systems

(2) Abdulle, Assyr a Cirilli, Stéphane b

a UNIVERSITY OF EDINBURGH (United Kingdom)

b Geneva Department of Education (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 36148973217 PISSN: 1631073X EISSN: None Source Type: Journal
DOI: 10.1016/j.crma.2007.10.009 Document Type: Article

Times cited : (22)

References (13)

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2
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3
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- A. Abdulle, S. Cirilli, S-ROCK: Chebyshev methods for stiff stochastic differential equations, preprint

4
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- P.M. Burrage, Runge-Kutta methods for stochastic differential equations, PhD Thesis, University of Queensland, Brisbane, Australia, 1999

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- Hairer, E.¹ Wanner, G.²

6
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- Mean-square and asymptotic stability of numerical methods for stochastic ordinary differential equations
- Higham D.J. Mean-square and asymptotic stability of numerical methods for stochastic ordinary differential equations. SIAM J. Numer Anal. 38 3 (2000) 753-769
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- Higham, D.J.¹

7
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- Springer-Verlag
- Kloeden P.E., and Platen E. Numerical Solution of Stochastic Differential Equations (1992), Springer-Verlag
- (1992) Numerical Solution of Stochastic Differential Equations
- Kloeden, P.E.¹ Platen, E.²

8
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- CRC Press, Boca Raton pp. 45-80
- Lebedev V.I. How to Solve Stiff Systems of Differential Equations by Explicit Methods (1994), CRC Press, Boca Raton pp. 45-80
- (1994) How to Solve Stiff Systems of Differential Equations by Explicit Methods
- Lebedev, V.I.¹

9
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- Scientific Computing, Springer
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- Milstein, G.N.¹ Tretyakov, M.V.²

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- Springer-Verlag
- Oksendal B. Stochastic Differential Equations. sixth ed. (2005), Springer-Verlag
- (2005) Stochastic Differential Equations. sixth ed.
- Oksendal, B.¹

11
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- Shaker Verlag, Aachen
- Rössler A. Runge-Kutta Methods for the Numerical Solution of Stochastic Differential Equations (2003), Shaker Verlag, Aachen
- (2003) Runge-Kutta Methods for the Numerical Solution of Stochastic Differential Equations
- Rössler, A.¹

12
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- Numerical treatment of stochastic differential equations
- Rümlin W. Numerical treatment of stochastic differential equations. SIAM J. Numer Anal. 19 3 (1982) 604-613
- (1982) SIAM J. Numer Anal. , vol.19 , Issue.3 , pp. 604-613
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13
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- RKC: an explicit solver for parabolic PDEs
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