Balanced Implicit Methods for Stiff Stochastic Systems
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Publication:4389164
DOI10.1137/S0036142994273525zbMath0914.65143OpenAlexW1971274873MaRDI QIDQ4389164
Henri Schurz, Eckhard Platen, Grigori N. Milstein
Publication date: 12 May 1998
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142994273525
comparisonstabilityconvergencenumerical experimentsstochastic differential equationsEuler methodstiff systemimplicit numerical methodsbalanced methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multiple scale methods for ordinary differential equations (34E13) Probabilistic methods, stochastic differential equations (65C99)
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