TY - JOUR
T1 - Effectiveness of Implicit Methods for Stiff Stochastic Differential Equations
JO - Communications in Computational Physics
VL - 2
SP - 295
EP - 307
PY - 2008
DA - 2008/03
SN - 3
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/cicp/7854.html
KW - 
AB - <p style="text-align: justify;">In this paper we study the behavior of a family of implicit numerical methods applied to stochastic differential equations with multiple time scales. We show by a combination of analytical arguments and numerical examples that implicit methods in general fail to capture the effective dynamics at the slow time scale. This is due to the fact that such implicit methods cannot correctly capture non-Dirac invariant distributions when the time step size is much larger than the relaxation time of the system.&nbsp;</p>