典型文献
Modeling Fast Diffusion Processes in Time Integration of Stiff Stochastic Differential Equations
文献摘要：
Numerical algorithms for stiff stochastic differential equations are developed using lin-ear approximations of the fast diffusion processes,under the assumption of decoupling between fast and slow processes.Three numerical schemes are proposed,all of which are based on the linearized formulation albeit with different degrees of approximation.The schemes are of comparable complexity to the classical explicit Euler-Maruyama scheme but can achieve better accuracy at larger time steps in stiff systems.Convergence analysis is conducted for one of the schemes,that shows it to have a strong convergence order of 1/2 and a weak convergence order of 1.Approximations arriving at the other two schemes are discussed.Numerical experiments are carried out to examine the convergence of the schemes proposed on model problems.
文献关键词：
中图分类号：
作者姓名：
Xiaoying Han;Habib N.Najm
作者机构：
Department of Mathematics and Statistics,Auburn University,221 Parker Hall,Auburn,AL 36849,USA;Sandia National Laboratories,P.O.Box 969,Livermore,CA 94551,USA
文献出处：
引用格式：
[1]Xiaoying Han;Habib N.Najm-.Modeling Fast Diffusion Processes in Time Integration of Stiff Stochastic Differential Equations)[J].应用数学与计算数学学报,2022(04):1457-1493
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AB值：
0.659593
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