Balanced Implicit Methods for Stiff Stochastic Systems

Authors:
G. N. Milstein;E. Platen;H. Schurz
Affiliations:
-;-;-
Venue:
SIAM Journal on Numerical Analysis
Year:
1998

Citing 0
Cited 19

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Abstract

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.