An improved Milstein method for stiff stochastic differential equations

DOI10.1186/S13662-015-0699-9MaRDI QIDQ1795526zbMATH OpenOpenAlexWikidataFDO

Authors Zhengwei Yin, Siqing Gan

Publication date 16 October 2018

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-015-0699-9

zbMATH Keywords

stiffnessstochastic differential equationsstrong convergencemean-square stabilityimproved Milstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(17)

• Improved stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• A simplified Milstein scheme for SPDEs with multiplicative noise
• Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Deterministic implicit two-step Milstein methods for stochastic differential equations
• On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• scientific article; zbMATH DE number 5812226 (Why is no real title available?)
• Numerical methods for simulation of stochastic differential equations
• Stabilized Milstein type methods for stiff stochastic systems
• Five-stage Milstein methods for SDEs
• Explicit integration of stiff stochastic differential equations via an efficient implementation of stochastic computational singular perturbation

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Uses Software

• S-ROCK

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