Uniform Convergence of Interlaced Euler Method for Stiff Stochastic Differential Equations

DOI10.1137/080743305zbMath1252.65012OpenAlexW2094035517MaRDI QIDQ2905623

Muruhan Rathinam, Ioana Cipcigan

Publication date: 28 August 2012

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080743305

zbMATH Keywords

convergencenumerical experimentserror boundsimplicit Euler methodstiff systemBrownian motionsexplicit Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

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