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. https://doi.org/10.1137/17M1145859 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

Type

Dataset

DOI

10.26037/yareta:7vzoit2e4jcszjkdosi5wohcga

Type

Dataset

License

MIT License

Keywords

Explicit stochastic methods, Stabilized methods, Postprocessor, Invariant measure, Ergodicity, Orthogonal Runge-Kutta Chebyshev, SK-ROCK, PSK-ROCK