S-SDIRK: weak second order drift-implicit mean-square A-stable integrators for stiff Itô stochastic differential equations

This code is described in: A. Abdulle, G. Vilmart, and K.C. Zygalakis, Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations, BIT 53 (2013) 827-840. http://dx.doi.org/10.1007/s10543-013-0430-8 Content: - Fortran code ssdirk.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: February 2, 2013.

    Organizational unit
    Vilmart Group - Math
    MIT License
    Stiff SDEs, Drift-implicit stochastic methods, Mean-square stability
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)

Datacite metadata

Packages information

Similar archives

Vilmart Group - Math
A uniformly accurate scheme for the numerical integration of penalized Langevin dynamics
2023 accessLevelPublic Public 11.1 MB
Vilmart Group - Math
Multirevolution integrators for SDEs with fast stochastic oscillations and the nonlinear Schrödinger equation with fast white noise dispersion
2023 accessLevelPublic Public 4.3 MB
Vilmart Group - Math
High order integrators for sampling the invariant measure of constrained overdamped Langevin dynamics
2023 accessLevelPublic Public 73.8 MB
Vilmart Group - Math
PIROCK: A swiss-knife integrator for stiff diffusion-advection-reaction-noise problems
2023 accessLevelPublic Public 99.0 KB
All rights reserved by DLCM and the University of GenevaunigeBlack