Implicit Taylor methods for stiff stochastic differential equations

DOI10.1016/S0168-9274(01)00034-4zbMath0983.65007MaRDI QIDQ5939898

Kevin Burrage, Tianhai Tian

Publication date: 23 July 2001

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

stabilityconvergencenumerical resultsimplicit Euler-Taylor methodimplicit Milstein-Taylor methodstiff Itô stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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Uses Software

• RODAS

Cites Work

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