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

Abdulle, A. ; Vilmart, G. ; Zygalakis, K.

In: BIT Numerical Mathematics, 2013, vol. 53, no. 4, p. 827-840

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    Titre
    • Mean-square A -stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
    Auteur
    • Abdulle, A.. ANMC, Section de Mathématiques, École Polytechnique Fédérale de Lausanne, 1015, Lausanne, Switzerland
    • Vilmart, G.. École Normale Supérieure de Cachan, Antenne de Bretagne, INRIA Rennes, IRMAR, CNRS, UEB, av. Robert Schuman, 35170, Bruz, France
    • Zygalakis, K.. ANMC, Section de Mathématiques, École Polytechnique Fédérale de Lausanne, 1015, Lausanne, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • BIT Numerical Mathematics, 2013, vol. 53, no. 4, p. 827-840. Springer Netherlands
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:310300
    Summary
    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 (Debrabant and Rößler, Appl. Numer. Math. 59(3-4):595-607, 2009)