A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise (Q1759581)
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scientific article; zbMATH DE number 6109250
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| English | A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise |
scientific article; zbMATH DE number 6109250 |
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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise (English)
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21 November 2012
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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.
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fully implicit Milstein method
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stiff stochastic differential equation
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strong convergence
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stability
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mean-square stability
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almost sure asymptotic stability
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numerical experiments
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