Stiffly accurate Runge–Kutta methods for stiff stochastic differential equations

Burrage, K. and Tian, T. (2001) Stiffly accurate Runge–Kutta methods for stiff stochastic differential equations. Computer Physics Communications, 142(1-3), pp. 186-190. (doi: 10.1016/S0010-4655(01)00324-1)

Abstract

In this paper we discuss implicit methods based on stiffly accurate Runge–Kutta methods and splitting techniques for solving Stratonovich stochastic differential equations (SDEs). Two splitting techniques: the balanced splitting technique and the deterministic splitting technique, are used in this paper. We construct a two-stage implicit Runge–Kutta method with strong order 1.0 which is corrected twice and no update is needed. The stability properties and numerical results show that this approach is suitable for solving stiff SDEs.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Tian, Dr Tianhai
• Authors: Burrage, K., and Tian, T.
• Subjects: Q Science > QA Mathematics
• College/School: College of Science and Engineering > School of Mathematics and Statistics > Mathematics
• Journal Name: Computer Physics Communications
• ISSN: 0010-4655
• ISSN (Online): 1879-2944
• Published Online: 08 December 2001