Explicit Stabilized Multirate Method For Stiff Stochastic Differential Equations
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Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrat ...
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Explicit stabilized methods for stiff ordinary differential equations have a long history. Proposed in the early 1960s and developed during 40 years for the integration of stiff ordinary differential equations, these methods have recently been extended to ...
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