Second weak order explicit stabilized methods for stiff stochastic differential equations
We introduce a new family of explicit integrators for stiff Itˆo stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of onestep stabilized methods with extended stability domains and do not suffer from stepsize reduction that standard explicit meth...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2012
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