The composite Milstein methods for the numerical solution of Itô stochastic differential equations

DOI10.1016/j.cam.2010.10.026zbMath1221.65018OpenAlexW2023329313MaRDI QIDQ629486

M. A. Omar, Abdel-Karim Aboul-Hassan, Sherif I. Rabia

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.10.026

zbMATH Keywords

stochastic differential equationsnumerical stabilitycomposite Euler methodcomposite Milstein methodMilstein methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• RODAS

Cites Work

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• Balanced Milstein Methods for Ordinary SDEs
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• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations