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. 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. 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
    MIT License
    Stiff SDEs, Explicit stochastic methods, Stabilized methods, Orthogonal Runge-Kutta-Chebyshev, S-ROCK
Publication date31/01/2023
Retention date28/01/2033
accessLevelPublicAccess levelPublic
duaNoneContract on the use of data
  • Abdulle, Assyr
  • Vilmart, Gilles orcid
  • Zygalakis, Konstantinos C.
  • Quality (0 Reviews)
  • Usefulness (0 Reviews)

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