Mean-square stability of split-step theta Milstein methods for stochastic differential equations

DOI10.1155/2018/1682513zbMath1426.65006OpenAlexW2787713479MaRDI QIDQ1720452

Haiying Zhang, Mahmoud A. Eissa, Yu Xiao

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/1682513

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model

Cites Work

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• Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations
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