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[02547] Split S-ROCK methods for stiff It\^{o} stochastic differential equations

  • Session Time & Room : 3D (Aug.23, 15:30-17:10) @E502
  • Type : Contributed Talk
  • Abstract : We propose explicit stochastic Runge--Kutta methods for stiff It\^{o} stochastic differential equations. The family of the methods is constructed on the basis of the Runge--Kutta--Chebyshev methods, and we utilize a Strang splitting-type approach. The derived methods achieve weak order $2$, and have high computational accuracy for relatively large time-step size, as well as good stability properties. In numerical experiments, we confirm that our methods are superior to existing methods in computational accuracy.
  • Classification : 60H10, 65L05, 65L06
  • Format : Talk at Waseda University
  • Author(s) :
    • Yoshio Komori (Kyushu Institute of Technology)
    • David Cohen (Chalmers University of Technology)
    • Kevin Burrage (Queensland University of Technology)