Five-stage Milstein methods for SDEs

DOI10.1080/00207160.2012.657629zbMath1255.65017OpenAlexW2057517278MaRDI QIDQ4903573

Samar Singh, Soumyendu Raha

Publication date: 22 January 2013

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

Full work available at URL: https://doi.org/10.1080/00207160.2012.657629

zbMATH Keywords

stabilitystochastic differential equationmean-square convergenceexplicit methodmean convergence

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations ⋮ Unnamed Item ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Cites Work

• Unnamed Item
• Unnamed Item
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Split-step forward methods for stochastic differential equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

This page was built for publication: Five-stage Milstein methods for SDEs