Interlaced Euler scheme for stiff systems of stochastic differential equations

@inproceedings{Cipcigan2009InterlacedES,
  title={Interlaced Euler scheme for stiff systems of stochastic differential equations},
  author={Ioana Cipcigan and Muruhan Rathinam},
  booktitle={SAC},
  year={2009}
}
In deterministic as well as stochastic models, stiff systems, i.e., systems with vastly different time scales where the fast scales are stable, are very common. It is well known that the implicit Euler method is well suited for stiff deterministic equations (modeled by ODEs) while the explicit Euler is not. In particular, once the fast transients are over… CONTINUE READING