swMATH ID: 11792
Software Authors: Abdulle, Assyr; Cirilli, Stephane
Description: S-ROCK: Chebyshev methods for stiff stochastic differential equations. We present and analyze a new class of numerical methods for the solution of stiff stochastic differential equations (SDEs). These methods, called S-ROCK (for stochastic orthogonal Runge-Kutta Chebyshev), are explicit and of strong order 1 and possess large stability domains in the mean-square sense. For mean-square stable stiff SDEs, they are much more efficient than the standard explicit methods proposed so far for stochastic problems and give significant speed improvement. The explicitness of the S-ROCK methods allows one to handle large systems without linear algebra problems usually encountered with implicit methods. Numerical results and comparisons with existing methods are reported.
Homepage: http://epubs.siam.org/doi/abs/10.1137/070679375
Keywords: stiff problems; stochastic differential equations; mean-square stability; Chebyshev methods; Runge-Kutta methods; explicit methods
Related Software: RODAS; RKC; PIROCK; SERK2; SERK2v3; MEBDF; Matlab; MersenneTwister; Mathematica; MuPAD; RRR; BUQO; MATLAB ODE suite; ode23s; ode113; Ode15s; ode45; ode23; DASSL; VODE
Referenced in: 43 Publications

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