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.

Keywords: Stiff SDEs, Drift-implicit stochastic methods, Mean-square stability

Publication date

31/01/2023

Retention date28/01/2033

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