SK-ROCK: Optimal explicit stabilized integrator of weak order one for stiff and ergodic Itô stochastic differential equations

This code is described in: Optimal explicit stabilized integrator of weak order one for stiff and ergodic stochastic differential equations, SIAM/ASA J. Uncertain. Quantif. 6 (2018), no. 2, 937–964. Content: - Fortran code skrock.f and driver example, - Fortran random number generator zufall.f (by W. P. Petersen ETH Zurich 1994) (other random number generators could be used). Version: April 4, 2018.

    Organizational unit
    Vilmart Group - Math
    MIT License
    Explicit stochastic methods, Stabilized methods, Postprocessor, Invariant measure, Ergodicity, Orthogonal Runge-Kutta Chebyshev, SK-ROCK, PSK-ROCK
Publication date30/01/2023
Retention date27/01/2033
accessLevelPublicAccess levelPublic
duaNoneContract on the use of data
  • Abdulle, Assyr
  • Almuslimani, Ibrahim
  • Vilmart, Gilles orcid
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