Deterministic implicit two-step Milstein methods for stochastic differential equations
DOI10.1016/J.SPL.2021.109208zbMath1489.60120OpenAlexW3190259255WikidataQ115341065 ScholiaQ115341065MaRDI QIDQ2244530
Quanwei Ren, Tianhai Tian, Hong-Jiong Tian
Publication date: 12 November 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2021.109208
stochastic differential equationmean-square convergencemean-square stabilitytwo-step Milstein methoddeterministic implicit method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Adams methods for the efficient solution of stochastic differential equations with additive noise
- Adams-type methods for the numerical solution of stochastic ordinary differential equations
- Two-step Milstein schemes for stochastic differential equations
- Mean-square convergence of stochastic multi-step methods with variable step-size
- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
- Generalized two-step Milstein methods for stochastic differential equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Multistep methods for SDEs and their application to problems with small noise
- Numerical Analysis of Stochastic Schemes in Geophysics
- Implicit Taylor methods for stiff stochastic differential equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Deterministic implicit two-step Milstein methods for stochastic differential equations
