Balanced Implicit Methods for Stiff Stochastic Systems

G. N. Milstein, Eckhard Platen () and H. Schurz

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: This paper introduces some implicitness in stochastic terms of numerical methods for solving stiff stochastic differential equations and especially aclass 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.

Keywords: stochastic differential equations; implicit numerical methods; stiff equations; simulation experiments (search for similar items in EconPapers)
Pages: 10 pages
Date: 1998-01-01
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Citations: View citations in EconPapers (39)

Published in: Milstein, G., Platen, E. and Schurz, H., 1998, "Balanced Implicit Methods For Stiff Stochastic Systems", Siam Journal On Numerical Analysis, 35(3), 1010-1019.

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