The composite Euler method for stiff stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Uniform Convergence of Interlaced Euler Method for Stiff Stochastic Differential Equations
In contrast to stiff deterministic systems of ordinary differential equations, in general, the implicit Euler method for stiff stochastic differential equations is not effective. This paper introduces a new numerical method for stiff differential equations which consists of interlacing large implicit Euler time steps with a sequence of small explicit Euler time steps. We emphasize that uniform ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2001
ISSN: 0377-0427
DOI: 10.1016/s0377-0427(00)00259-4