SROCK2: weak second order explicit stabilized integrators for stiff Itô stochastic differential equations

This code is described in: A. Abdulle, G. Vilmart, and K.C. Zygalakis, Weak second order explicit stabilized methods for stiff stochastic differential equations, SIAM J. Sci. Comput. 35 (2013):1792-1814. http://dx.doi.org/10.1137/12088954X This code is a modification of the code ROCK2 (A. Abdulle, 2002), A. Abdulle & A.A. Medovikov, Second order Chebyshev methods based on orthogonal polynomials, Numer. Math. 90, no. 1 (2001), 1-18. http://dx.doi.org/10.1007/s002110100292 Content: - Fortran code srock2.f and driver examples, - Fortran random number generator zufall.f (by W. P. Petersen ETH Zurich 1994) (other random number generators could be used). Version: December 12, 2012.

Organizational unit

Vilmart Group - Math

Type

Dataset

DOI

10.26037/yareta:wjnq4xo55fedhk2zyouzbyoblu

License

MIT License

Keywords

Stiff SDEs, Explicit stochastic methods, Stabilized methods, Orthogonal Runge-Kutta-Chebyshev, S-ROCK