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Article Dans Une Revue BIT Numerical Mathematics Année : 2013

Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

Résumé

We introduce two drift-diagonally-implicit and derivative-free integrators for stiff systems of Itô stochastic differential equations with general non-commutative noise which have weak order 2 and deterministic order 2, 3, respectively. The methods are shown to be mean-square A-stable for the usual complex scalar linear test problem with multiplicative noise and improve significantly the stability properties of the drift-diagonally-implicit methods previously introduced [K. Debrabant and A. Rößler, Appl. Num. Math., 59, 2009].
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Dates et versions

hal-00739756 , version 1 (08-10-2012)
hal-00739756 , version 2 (13-02-2013)

Identifiants

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Assyr Abdulle, Gilles Vilmart, Konstantinos Zygalakis. Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations. BIT Numerical Mathematics, 2013, 53 (4), pp.827-840. ⟨10.1007/s10543-013-0430-8⟩. ⟨hal-00739756v2⟩
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