The composite Euler method for stiff stochastic differential equations

By Kevin Burrage, Tianhai Tian. 2001

52 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1f2492f54cfa516c78034341cba332ed0bb72a9c

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In Finance

1. Evelyn Buckwar
2. Thorsten Sickenberger

Citations in the corpus

• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (2012, background): “, [1, 9, 20, 32] for literature concerning stochastic versions of these concepts), matters concerning the stochastic nature of the equations become important to study and understand as well.”
• Nonintrusive and Structure Preserving Multiscale Integration of Stiff ODEs, SDEs, and Hamiltonian Systems with Hidden Slow Dynamics via Flow Averaging (2009, unknown): “…mechanical system: Kapitza’s inverted pendulum 43 6.7 Nonautonomous SDE system with hidden slow variables . . . . . . . . . . 45 6.8 Langevin equations with slow noise and friction . . . . . . . . . . . . . . . 46 6.9 Langevin equations with fast noise and friction . . . . . . . . . . . . . . . 48”