A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise (Q1759581)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise |
scientific article |
Statements
A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise (English)
0 references
21 November 2012
0 references
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.
0 references
fully implicit Milstein method
0 references
stiff stochastic differential equation
0 references
strong convergence
0 references
stability
0 references
mean-square stability
0 references
almost sure asymptotic stability
0 references
numerical experiments
0 references
0 references
0 references
0 references
0 references
0 references
0 references
