论文信息 - Balanced Implicit Methods for Stiff Stochastic Systems

Balanced Implicit Methods for Stiff Stochastic Systems

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.

E. Platen | G. Milstein | H. Schurz

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