A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
type: Item
instance of: scholarly article
title: A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
zbMATH Open document ID: 1259.65007
author: Desheng Wang
author: Xiaojie Wang
author: Siqing Gan
published in: BIT
publication date: 2012-11-21T00:00:00Z
review text: The authors introduce a family of fully implicit methods for solving stiff stochastic differential equations (SDEs). They prove convergence of the proposed methods with strong order 1.0 for a special class of SDEs. This class consists of systems with linear diffusion terms satisfying in addition some commutative conditions. The stability properties of the obtained methods are studied. The convergence and stability results are supported by numerical experiments.
reviewed by: Grigori N. Milstein
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L04
Mathematics Subject Classification ID: 65L20
zbMATH DE Number: 6109250
zbMATH Keywords: fully implicit Milstein method
zbMATH Keywords: stiff stochastic differential equation
zbMATH Keywords: strong convergence
zbMATH Keywords: stability
zbMATH Keywords: mean-square stability
zbMATH Keywords: almost sure asymptotic stability
zbMATH Keywords: numerical experiments
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: s10543-012-0370-8
OpenAlex ID: W2055755622
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DOI: 10.1007/S10543-012-0370-8
description: scientific article; zbMATH DE number 6109250