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The stiffness problem for stochastic systems and a method of solving it
Using exact or approximate first integrals of the so-called truncated system of differential equations, it is shown that it is possible to improve the stability of the numerical analysis of dynamical systems described by stiff stochastic differential equations. A numerical example is given.
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| Published in: | Journal of applied mathematics and mechanics 1998, Vol.62 (6), p.877-882 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Online Access: | Get full text |
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| Summary: | Using exact or approximate first integrals of the so-called truncated system of differential equations, it is shown that it is possible to improve the stability of the numerical analysis of dynamical systems described by stiff stochastic differential equations. A numerical example is given. |
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| ISSN: | 0021-8928 0021-8928 |
| DOI: | 10.1016/S0021-8928(98)00112-9 |