Y. Komori and K. Burrage (2010), A stochastic method for all seasons, Technical
Report CSSE-36, Faculty of Computer Science & Systems Engineering,
Kyushu Institute of Technology.
Abstract
It is well known that the numerical solution of stochastic ordinary differential
equations leads to a step size reduction when explicit methods are used.
This has led to a plethora of implicit methods with a wide variety of stability
properties. However, for stochastic problems whose eigenvalues lie near
the negative real axis, explicit methods with extended stability regions
can be very effective. In this paper we extend these ideas to the stochastic
realm and present a family of weak order two explicit stochastic Runge-Kutta
methods with extended stability intervals that can be used to solve a variety
of non-stiff and stiff problems.
The material in this report has been superseded by Y. Komori and K. Burrage (2012).
The pdf file is obtainable from here.
Last updated: 2012/03/01