Abstract
In this chapter we shall consider implicit strong schemes which are necessary for the simulation of the solutions of stiff stochastic differential equations. The regions of absolute stability of several of these implicit strong schemes and other explicit strong schemes will also be investigated.
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Bibliographical Notes
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© 1992 Springer-Verlag Berlin Heidelberg
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Kloeden, P.E., Platen, E. (1992). Implicit Strong Approximations. In: Numerical Solution of Stochastic Differential Equations. Applications of Mathematics, vol 23. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-12616-5_12
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DOI: https://doi.org/10.1007/978-3-662-12616-5_12
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-08107-1
Online ISBN: 978-3-662-12616-5
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