Geodesic
A~problem of stiffness for stochastic equations
Matematičeskoe modelirovanie, Tome 10 (1998) no. 3, pp. 3-14.

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A phenomenon of stiffness occurring under simulation of the Markov systems is considered. A new approach to the simulation of these systems, described by the stiff systems of the stochastic differential equations, is developed. It allows to provide the required stability of the used numerical methods for solving the filtering equation under essential increasing of the integration step. 
@article{MM_1998_10_3_a0,
     author = {Yu. G. Bulychev and A. V. Eliseev and A. P. Lapsar},
     title = {A~problem of stiffness for stochastic equations},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {3--14},
     publisher = {mathdoc},
     volume = {10},
     number = {3},
     year = {1998},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_1998_10_3_a0/}
}
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Yu. G. Bulychev; A. V. Eliseev; A. P. Lapsar. A~problem of stiffness for stochastic equations. Matematičeskoe modelirovanie, Tome 10 (1998) no. 3, pp. 3-14. http://geodesic.mathdoc.fr/item/MM_1998_10_3_a0/