New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Ito stochastic differential equations

作者：Tang, Xiao; Xiao, Aiguo^*

来源：Numerical Algorithms, 2019, 82(2): 593-604.

DOI：10.1007/s11075-018-0615-y

• Stiff stochastic differential equations
• Explicit stabilized methods
• Weak second order

This paper introduces a new class of weak second-order explicit stabilized stochastic Runge-Kutta methods for stiff Ito stochastic differential equations. The convergence and mean-square stability properties of our new methods are analyzed. The numerical results of two examples are presented to confirm our theoretical results.

• 出版日期2019-10
• 单位湘潭大学