Double-implicit and split two-step Milstein schemes for stochastic differential equations

DOI10.1080/00207160.2015.1081182zbMath1355.65013OpenAlexW2314728264MaRDI QIDQ2958270

Fengze Jiang, Xiaofeng Zong, Chao Yue, Cheng-Ming Huang

Publication date: 1 February 2017

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2015.1081182

zbMATH Keywords

strong convergenceexponential mean square stabilitydouble-implicit Milstein methodsplit two-step Milstein method

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Mean-square stability of split-step theta Milstein methods for stochastic differential equations ⋮ A Legendre-based computational method for solving a class of Itô stochastic delay differential equations ⋮ Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs ⋮ Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model ⋮ Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations

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