Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

Assyr Abdulle, Gilles Vilmart, Konstantinos C. Zygalakis

Research output: Contribution to journalArticlepeer-review

28 Scopus citations


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 step size reduction faced by standard explicit methods. The family is based on the standard second order orthogonal Runge-Kutta-Chebyshev (ROCK2) methods for deterministic problems. The convergence, meansquare, 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. © 2013 Society for Industrial and Applied Mathematics.
Original languageEnglish (US)
Pages (from-to)A1792-A1814
Number of pages1
JournalSIAM Journal on Scientific Computing
Issue number4
StatePublished - Jan 2013
Externally publishedYes

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledged KAUST grant number(s): KUK-C1-013-04
Acknowledgements: This author's work was partially supported by Swiss National Foundation Grant 200021_140692.This author's work was partially supported by award KUK-C1-013-04, made by King Abdullah University of Science and Technology (KAUST).
This publication acknowledges KAUST support, but has no KAUST affiliated authors.


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