S-ROCK: Chebyshev methods for stiff stochastic differential equations

SIAM Journal on Scientific Computing

Volumn 30, Issue 2, 2007, Pages 997-1014

  Abdulle, Assyr ^a   Cirilli, Stephane ^b  

^a MAXWELL INSTITUTE FOR MATHEMATICAL SCIENCES   (United Kingdom)

^b UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

Chebyshev methods; Explicit methods; Mean square stability; Runge Kutta methods; Stiff problems; Stochastic differential equations

Indexed keywords

DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; STOCHASTIC SYSTEMS;

CHEBYSHEV; CHEBYSHEV'S METHODS; EXPLICIT METHOD; MEAN SQUARE STABILITY; MEAN-SQUARE; STABILITY DOMAINS; STIFF PROBLEM; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC PROBLEMS; STOCHASTICS;

RUNGE KUTTA METHODS;

EID: 55549143340     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/070679375     Document Type: Article

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