Balanced Implicit Methods for Stiff Stochastic Systems
نویسندگان
چکیده
This paper introduces some implicitness in stochastic terms of numerical methods for solving stiff stochastic differential equations and especially a class of fully implicit methods, the balanced methods. Their order of strong convergence is proved. Numerical experiments compare the stability properties of these schemes with explicit ones.
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تاریخ انتشار 1998