Is it merely that the solution is a function of terms, one varying at a slow rate and the other at a rapid rate. If so why the non stiff systems behave as stiff when we change the initial conditions?. Or is the property 'stiff' associated with the integration methods/solvers.
Dear Nisha, stiffness is a combination of differential problem, solution methods, initial conditions and local error tolerances; it is not only a property of solution of a differential equation (or problem). Therefore some equations can have non-stiff behaviour using some initial conditions and stiff using other conditions. In RG archive there is the following paper wich could be useful for stiffness estimation. Gianluca
Chapter Stiffness Detection Strategy for Explicit Runge Kutta Methods
Stiff Stochastic Differential Equations
Please let me know if these references/sites are useful to you:
1. Stochastic differential equation. A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as unstable stock prices or physical systems subject to thermal fluctuations. Stochastic differential equation - Wikipedia en.wikipedia.org/wiki/Stochastic_differential_equation ·2. An improved Milstein method for stiff stochastic
https://link.springer.com/article/10.1186/s13662-015-0699-9
To solve the stiff stochastic differential equations, we propose an improved Milstein method, which is constructed by adding an error correction term to the Milstein ...
3. Implicit Taylor methods for stiff stochastic differential
https://www.sciencedirect.com/science/article/pii/S0168927401000344
In this paper we discuss implicit Taylor methods for stiff Itô stochastic differential equations. Based on the relationship between Itô stochastic integrals and ...
Dennis
Dennis Mazur
In mathematics, a stiff equation is a differential equation for which certain numerical methods for solving the equation are numerically unstable, unless the step size is taken to be extremely small.
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