Uniform convergence of interlaced Euler method for stiff stochastic differential equations (Q2905623)

Utilizing alternation of implicit Euler method approximation over a large time step and explicit Euler method approximation over several small time steps, a method is developed for approximating the solution of a stiff system of stochastic differential equations of the form NEWLINE\[NEWLINE\begin{aligned} dX(t) &= {1\over\varepsilon} a(X(t, Y(t))\,dt+ {1\over\sqrt{\varepsilon}} b(X(t), Y(t))\,dB_1(t),\\ dY(t) &= f(X(t), Y(t))\,dt+ g(X(t), Y(t))\,dB_2(t),\end{aligned}NEWLINE\]NEWLINE where \(B_1\) and \(B_2\) are independent Brownian motions. For an appropriate test system, convergence properties and error bounds are derived. Results of numerical experiments for some examples are given to demonstrate the efficiency and accuracy of the method.