Solving parabolic integro-differential equations by an explicit integration method
Journal of Computational and Applied Mathematics
Solving ordinary differential equations I (2nd revised. ed.): nonstiff problems
Solving ordinary differential equations I (2nd revised. ed.): nonstiff problems
Stability Analysis of Numerical Schemes for Stochastic Differential Equations
SIAM Journal on Numerical Analysis
Physics-based preconditioning and the Newton-Krylov method for non-equilibrium radiation diffusion
Journal of Computational Physics
Fourth Order Chebyshev Methods with Recurrence Relation
SIAM Journal on Scientific Computing
An Implicit-Explicit Runge--Kutta--Chebyshev Scheme for Diffusion-Reaction Equations
SIAM Journal on Scientific Computing
RKC time-stepping for advection-diffusion-reaction problems
Journal of Computational Physics
On stabilized integration for time-dependent PDEs
Journal of Computational Physics
S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
SIAM Journal on Scientific Computing
Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
Journal of Computational and Applied Mathematics
Partitioned Runge-Kutta-Chebyshev Methods for Diffusion-Advection-Reaction Problems
SIAM Journal on Scientific Computing
Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
Journal of Computational Physics
Hi-index | 31.45 |
A partitioned implicit-explicit orthogonal Runge-Kutta method (PIROCK) is proposed for the time integration of diffusion-advection-reaction problems with possibly severely stiff reaction terms and stiff stochastic terms. The diffusion terms are solved by the explicit second order orthogonal Chebyshev method (ROCK2), while the stiff reaction terms (solved implicitly) and the advection and noise terms (solved explicitly) are integrated in the algorithm as finishing procedures. It is shown that the various coupling (between diffusion, reaction, advection and noise) can be stabilized in the PIROCK method. The method, implemented in a single black-box code that is fully adaptive, provides error estimators for the various terms present in the problem, and requires from the user solely the right-hand side of the differential equation. Numerical experiments and comparisons with existing Chebyshev methods, IMEX methods and partitioned methods show the efficiency and flexibility of our new algorithm.