CHEBYSHEV METHODS WITH DISCRETE NOISE: THE τ-ROCK METHODS

(整期优先)网络出版时间:2010-02-12
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StabilizedorChebyshevexplicitmethodshavebeenwidelyusedinthepasttosolvestiffordinarydifferentialequations.MakinguseofspecialpropertiesofChebyshev-likepolynomials,thesemethodshavefavorablestabilitypropertiescomparedtostandardexplicitmethodswhileremainingexplicit.Anewclassofsuchmethods,calledROCK,introducedin[Numer.Math.,90,1-18,2001]hasrecentlybeenextendedtostiffstochasticdifferentialequationsunderthenameS-ROCK[C.R.Acad.Sci.Paris,345(10),2007andCommun.Math.Sci,6(4),2008].InthispaperwediscusstheextensionoftheS-ROCKmethodstosystemswithdiscretenoiseandproposeanewclassofmethodsforsuchproblems,theT-ROCKmethods.Onemotivationforsuchmethodsisthesimulationofmulti-scaleorstiffchemicalkineticsystemsandsuchsystemsarethefocusofthispaper,butournewmethodscouldpotentiallybeinterestingforotherstiffsystemswithdiscretenoise.TwoversionsoftheT-ROCKmethodsarediscussedandtheirstabilitybehaviorisanalyzedonatestproblem.ComparedtotheT-leapingmethod,asignificantspeed-upcanbeachievedforsomestiffkineticsystems.Thebehavioroftheproposedmethodsaretestedonseveralnumericalexperiments.