[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.
