Implicit Taylor methods for stiff stochastic differential equations

Applied Numerical Mathematics

Volumn 38, Issue 1-2, 2001, Pages 167-185

  Tian, T ^a   Burrage, K ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Computational methods; Numerical stability; Stochastic differential equations; Taylor series

Indexed keywords

COMPUTATIONAL METHODS; CONVERGENCE OF NUMERICAL METHODS; INTEGRAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES;

IMPLICIT TAYLOR METHOD; STIFF STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 0035400420     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0168-9274(01)00034-4     Document Type: Article

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