Split-step backward balanced Milstein methods for stiff stochastic systems (Q1015909)
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| Language | Label | Description | Also known as |
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| English | Split-step backward balanced Milstein methods for stiff stochastic systems |
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Split-step backward balanced Milstein methods for stiff stochastic systems (English)
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30 April 2009
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Four families of split-step backward balanced Milstein methods for approximating strong solutions of \(m\)-dimensional Itô stochastic differential equations (SDEs) are presented and shown to converge strongly with order 1. Then mean square stability properties are investigated and compared for these families. Numerical results for two examples illustrate the effectiveness of these methods for stiff SDEs.
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stochastic Taylor expansion
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mean-square stability
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stiff equations
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split-step backward balanced Milstein methods
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Itô stochastic differential equations
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numerical results
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