The composite Euler method for stiff stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 131, Issue 1-2, 2001, Pages 407-426

  Burrage, Kevin ^a   Tian, Tianhai ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Composites Euler method; Euler methods; Numerical stability; Stochastic differential equations

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; LINEAR EQUATIONS; RANDOM PROCESSES;

EULER METHOD; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATION;

EID: 0035360332     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-0427(00)00259-4     Document Type: Article

References (17)

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7. Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
8. Balanced implicit methods for stiff stochastic systems
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10. T-Stability of numerical scheme for stochastic differential equations
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