SROCK2: weak second order explicit stabilized integrators for stiff Itô stochastic differential equations
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下载链接：
https://yareta.unige.ch/archives/8a68af29-a8b7-4a66-9fa2-85df2f054e3f
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资源简介：
This code is described in:
A. Abdulle, G. Vilmart, and K.C. Zygalakis, Weak second order explicit stabilized methods for stiff stochastic differential equations, SIAM J. Sci. Comput. 35 (2013):1792-1814.
http://dx.doi.org/10.1137/12088954X
This code is a modification of the code ROCK2 (A. Abdulle, 2002), A. Abdulle & A.A. Medovikov, Second order Chebyshev methods based on orthogonal polynomials, Numer. Math. 90, no. 1 (2001), 1-18.
http://dx.doi.org/10.1007/s002110100292
Content:
- Fortran code srock2.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: December 12, 2012.
提供机构：
Université de Genève, Yareta
创建时间：
2023-01-31
