The fully implicit stochastic-α method for stiff stochastic differential equations

Authors:
Sk. Safique Ahmad;Nigam Chandra Parida;Soumyendu Raha
Affiliations:
Supercomputer Education and Research Centre, Indian Institute of Science, Bangalore 560012, India;Supercomputer Education and Research Centre, Indian Institute of Science, Bangalore 560012, India;Supercomputer Education and Research Centre, Indian Institute of Science, Bangalore 560012, India
Venue:
Journal of Computational Physics
Year:
2009

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Abstract

A fully implicit integration method for stochastic differential equations with significant multiplicative noise and stiffness in both the drift and diffusion coefficients has been constructed, analyzed and illustrated with numerical examples in this work. The method has strong order 1.0 consistency and has user-selectable parameters that allow the user to expand the stability region of the method to cover almost the entire drift-diffusion stability plane. The large stability region enables the method to take computationally efficient time steps. A system of chemical Langevin equations simulated with the method illustrates its computational efficiency.