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

DOI10.1080/00207160.2015.1081182MaRDI QIDQ2958270zbMATH OpenOpenAlexFDO

Authors Fengze Jiang, Xiaofeng Zong, Chao Yue, Chengming 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

double-implicit Milstein methodexponential mean square stabilitysplit two-step Milstein methodstrong convergence

Mathematics Subject Classification ID

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)

Recommendations

• Deterministic implicit two-step Milstein methods for stochastic differential equations
• Two-step Milstein schemes for stochastic differential equations
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Mean-square stability of split-step theta Milstein methods for stochastic differential equations

Cites work

• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• A review on stochastic differential equations for applications in hydrology
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Approximate Integration of Stochastic Differential Equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Bifurcation theory of functional differential equations
• Continuous Markov processes and stochastic equations
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• scientific article; zbMATH DE number 42636 (Why is no real title available?)
• scientific article; zbMATH DE number 3806623 (Why is no real title available?)
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Mean-square convergence of stochastic multi-step methods with variable step-size
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Multistep methods for SDEs and their application to problems with small noise
• Numerical solution of stochastic differential equations with jumps in finance
• On two-step schemes for SDEs with small noise
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• Stochastic differential equations and applications.
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

Cited in

(16)

• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Mean-square stability of split-step theta Milstein methods for stochastic differential equations
• A simplified Milstein scheme for SPDEs with multiplicative noise
• 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
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
• Exponential discrete gradient schemes for a class of stochastic differential equations
• Deterministic implicit two-step Milstein methods for stochastic differential equations
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• scientific article; zbMATH DE number 5812226 (Why is no real title available?)
• Five-stage Milstein methods for SDEs
• scientific article; zbMATH DE number 6164564 (Why is no real title available?)
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

This page was built for publication: Double-implicit and split two-step Milstein schemes for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2958270)