The composite Euler method for stiff stochastic differential equations

DOI10.1016/S0377-0427(00)00259-4zbMath0987.65009OpenAlexW2089955609WikidataQ128024615 ScholiaQ128024615MaRDI QIDQ5939881

Kevin Burrage, Tianhai Tian

Publication date: 2 January 2002

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(00)00259-4

zbMATH Keywords

stabilityconvergencenumerical resultscomposite Euler methodstiff stochastic differential equations

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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