SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Integrating factor methods for stochastic differential equations

A. Kværnø and K. Debrabant

Abstract
The integrating factor methods, also called the Lawson methods, are well known techniques for solving stiff, semi-linear differential equations. The main idea behind the method is to use a change of variables to remove the explicit dependence on the stiff, linear part of the differential equation. In this talk, we will present some such methods for stochastic differential equations and discuss their stability properties.

Organized by         Universidad de Valladolid     IMUVA