Weak second order explicit stabilized methods for stiff stochastic differential equations

Assyr Abdulle (1) , Gilles Vilmart (2, 3) , Konstantinos Zygalakis (4)

1 EPFL - Ecole Polytechnique Fédérale de Lausanne
2 IPSO - Invariant Preserving SOlvers
3 IRMAR - Institut de Recherche Mathématique de Rennes
4 School of Mathematics [Southampton]

We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of one-step stabilized methods with extended stability domains and do not suffer from the stepsize reduction faced by standard explicit methods. The family is based on the standard second order orthogonal Runge-Kutta Chebyshev methods (ROCK2) for deterministic problems. The convergence, and the mean-square and asymptotic stability properties of the methods are analyzed. Numerical experiments, including applications to nonlinear SDEs and parabolic stochastic partial differential equations are presented and confirm the theoretical results.

Mots clés: S-ROCK; Stiff SDEs; explicit stochastic methods; stabilized methods; orthogonal Runge-Kutta Chebyshev; S-ROCK.

Domaines: Analyse numérique [math.NA]

Assyr Abdulle, Gilles Vilmart, Konstantinos Zygalakis. Weak second order explicit stabilized methods for stiff stochastic differential equations. SIAM Journal on Scientific Computing, 2013, 35 (4), pp.1792-1814. ⟨10.1137/12088954X⟩. ⟨hal-00739754v2⟩