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An Isaac Newton Institute Workshop

Effective Computational Methods for Highly Oscillatory Problems: The Interplay between Mathematical Theory and Applications

S-ROCK: explicit methods for stiff stochastic problems

Author: Assyr Abdulle (University of Edinburgh, School of Mathematics)

Abstract

Abstract:

In this talk, we discuss a new class of methods for the solution of stiff stochastic differential equations. (This is a joint work with S. Cirilli).