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

    
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    <datacite:identifier identifierType="DOI">10.26037/yareta:wjnq4xo55fedhk2zyouzbyoblu</datacite:identifier>
    <datacite:creators>
        <datacite:creator>
            <datacite:creatorName nameType="Personal">Abdulle, Assyr</datacite:creatorName>
            <datacite:givenName>Assyr</datacite:givenName>
            <datacite:familyName>Abdulle</datacite:familyName>
        </datacite:creator>
        <datacite:creator>
            <datacite:creatorName nameType="Personal">Vilmart, Gilles</datacite:creatorName>
            <datacite:givenName>Gilles</datacite:givenName>
            <datacite:familyName>Vilmart</datacite:familyName>
            <datacite:nameIdentifier xsi:type="datacite:nameIdentifier" nameIdentifierScheme="ORCID" schemeURI="https://orcid.org/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">0000-0003-4593-1012</datacite:nameIdentifier>
            <datacite:affiliation xsi:type="datacite:affiliation" affiliationIdentifier="https://ror.org/01swzsf04" affiliationIdentifierScheme="ROR" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">[UNIGE] Université de Genève</datacite:affiliation>
        </datacite:creator>
        <datacite:creator>
            <datacite:creatorName nameType="Personal">Zygalakis, Konstantinos C.</datacite:creatorName>
            <datacite:givenName>Konstantinos C.</datacite:givenName>
            <datacite:familyName>Zygalakis</datacite:familyName>
        </datacite:creator>
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    <datacite:titles>
        <datacite:title>SROCK2: weak second order explicit stabilized integrators for stiff Itô stochastic differential equations</datacite:title>
    </datacite:titles>
    <datacite:publisher>Université de Genève, Yareta</datacite:publisher>
    <datacite:publicationYear>2023</datacite:publicationYear>
    <datacite:resourceType resourceTypeGeneral="Dataset">Dataset</datacite:resourceType>
    <datacite:subjects>
        <datacite:subject subjectScheme="keywords">Stiff SDEs;Explicit stochastic methods;Stabilized methods;Orthogonal Runge-Kutta-Chebyshev;S-ROCK</datacite:subject>
    </datacite:subjects>
    <datacite:contributors>
        <datacite:contributor contributorType="ResearchGroup">
            <datacite:contributorName nameType="Organizational">[fc4869df-5fa3-444a-b5da-e1ff86f9dd12] Vilmart Group - Math</datacite:contributorName>
            <datacite:affiliation xsi:type="datacite:affiliation" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">[UNIGE-Sciences] Université de Genève - Faculté des Sciences</datacite:affiliation>
            <datacite:affiliation xsi:type="datacite:affiliation" affiliationIdentifier="https://ror.org/01swzsf04" affiliationIdentifierScheme="ROR" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">[UNIGE] Université de Genève</datacite:affiliation>
        </datacite:contributor>
        <datacite:contributor contributorType="ProjectManager">
            <datacite:contributorName nameType="Personal">Vilmart, Gilles</datacite:contributorName>
            <datacite:affiliation xsi:type="datacite:affiliation" affiliationIdentifier="https://ror.org/01swzsf04" affiliationIdentifierScheme="ROR" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">[UNIGE] Université de Genève</datacite:affiliation>
        </datacite:contributor>
    </datacite:contributors>
    <datacite:dates>
        <datacite:date dateType="Issued">2023-01-31T00:00:00Z</datacite:date>
        <datacite:date dateType="Collected">2012-12-12T00:00:00Z/</datacite:date>
        <datacite:date dateType="Created">2023-01-31T14:53:24.836012Z</datacite:date>
        <datacite:date dateType="Updated">2023-01-31T15:05:26.528414Z</datacite:date>
        <datacite:date dateType="Accepted">2023-01-31T14:58:40.884722Z</datacite:date>
    </datacite:dates>
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        <datacite:rights rightsURI="https://www.dlcm.ch/access-level/final">PUBLIC</datacite:rights>
        <datacite:rights rightsURI="https://www.dlcm.ch/data-tag">BLUE</datacite:rights>
        <datacite:rights rightsURI="https://spdx.org/licenses/MIT.html" rightsIdentifier="MIT" rightsIdentifierScheme="SPDX">MIT License</datacite:rights>
    </datacite:rightsList>
    <datacite:descriptions>
        <datacite:description descriptionType="Abstract">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 &amp; 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.</datacite:description>
    </datacite:descriptions>
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SROCK2: weak second order explicit stabilized integrators for stiff Itô stochastic differential equations

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