Abstract
This paper introduces a new class of weak second-order explicit stabilized stochastic Runge-Kutta methods for stiff Itô stochastic differential equations. The convergence and mean-square stability properties of our new methods are analyzed. The numerical results of two examples are presented to confirm our theoretical results.
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Funding
This research is supported by the National Natural Science Foundation of China (No.11671343), and the Hunan Province Innovation Foundation for Postgraduate (No. CX2016B250).
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Tang, X., Xiao, A. New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations. Numer Algor 82, 593–604 (2019). https://doi.org/10.1007/s11075-018-0615-y
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DOI: https://doi.org/10.1007/s11075-018-0615-y