TY - JOUR T1 - Explicit Integration of Stiff Stochastic Differential Equations via an Efficient Implementation of Stochastic Computational Singular Perturbation JO - Communications in Computational Physics VL - 5 SP - 1523 EP - 1546 PY - 2019 DA - 2019/01 SN - 25 DO - http://doi.org/10.4208/cicp.OA-2018-0138 UR - https://global-sci.org/intro/article_detail/cicp/12960.html KW - Stochastic computational singular perturbation, stochastic fast-slow stiff differential equations systems, numerical integrations of SDEs with stiffness, quasi-steady state approach, stochastic Davis-Skodje model, catalysis model. AB -

Numerical integration of stiff stochastic differential equations based on stochastic computational singular perturbation (SCSP) was recently developed in [62]. In this paper, a modified stochastic computational singular perturbation (MSCSP) method is considered. Similar to what was proposed in [26] for deterministic chemical reaction systems, the current study applies the sensitivity derivatives of the forcing terms with respect to the state variables to measure the reaction scales, which leads to a quasi-steady state equation for the fast species. This yields explicit large-step integrators for stochastic fast-slow stiff differential equations systems, which removes the expensive eigen-calculations of the standard SCSP integrators. The efficiency of the MSCSP integrators is demonstrated with the benchmark stochastic Davis-Skodje model and a nonlinear catalysis model under certain stochastic disturbances.