Modeling Fast Diffusion Processes in Time Integration of Stiff Stochastic Differential Equations

Author:

Han XiaoyingORCID,Najm Habib N.

Funder

Simons Foundation

U.S. Department of Energy

Publisher

Springer Science and Business Media LLC

Subject

General Medicine

Reference59 articles.

1. Abdulle, A.: Explicit methods for stiff stochastic differential equations. In: Engquist, B., Runborg, O., Tsai, Y.-H.R. (eds) Numerical Analysis of Multiscale Computations, pp. 1–22. Springer, Berlin Heidelberg (2012)

2. Abdulle, A., Li, T.: S-ROCK methods for stiff Itô SDEs. Commun. Math. Sci. 6, 845–868 (2008)

3. Ahn, T.H., Sandu, A., Han, X.: Implicit simulation methods for stochastic chemical kinetics. J. Appl. Anal. Comput. 5, 420 – 452 (2015)

4. Arnold, L.: Stochastic Differetial Equations: Theory and Applications. Wiley, USA (1974)

5. Bunker, D.L., Garrett, B., Kleindienst, T., Long, G.S.: Discrete simulation methods in combustion kinetics. Combust. Flame 23, 373–379 (1974)

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