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李铁军

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期刊论文

CHEBYSHEV METHODS WITH DISCRETE NOISE: THEτ-ROCK METHODS

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Journal of Computational Mathematics,2009,28(2):195–217 | 2009年12月21日

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摘要/描述

Stabilized or Chebyshev explicit methods have been widely used in the past to solve stiffordinary differential equations. Making use of special properties of Chebyshev-like poly-nomials, these methods have favorable stability properties compared to standard explicitmethods while remaining explicit. A new class of such methods, called ROCK, introducedin [Numer. Math., 90, 1-18, 2001] has recently been extended to stiff stochastic differentialequations under the name S-ROCK [C. R. Acad. Sci. Paris, 345(10), 2007 and Commun.Math. Sci, 6(4), 2008]. In this paper we discuss the extension of the S-ROCK methodsto systems with discrete noise and propose a new class of methods for such problems, theτ-ROCK methods. One motivation for such methods is the simulation of multi-scale orstiff chemical kinetic systems and such systems are the focus of this paper, but our newmethods could potentially be interesting for other stiff systems with discrete noise. Twoversions of theτ-ROCK methods are discussed and their stability behavior is analyzed ona test problem. Compared to theτ-leaping method, a significant speed-up can be achievedfor some stiff kinetic systems. The behavior of the proposed methods are tested on severalnumerical experiments.

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