The stiffness problem for stochastic systems and a method of solving it

被引：0
|
作者：
Bulychev, YG
Yeliseyev, AV
机构：
来源：
PMM JOURNAL OF APPLIED MATHEMATICS AND MECHANICS | 1998年 / 62卷 / 06期
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D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 1999 Elsevier Science Ltd. All rights reserved.
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页码：877 / 882
页数：6
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