Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs (Q2007526)

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English	Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs	scientific article

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instance of

scholarly article

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title

Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs (English)

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zbMATH Open document ID

1429.65023

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DOI

10.1016/j.amc.2018.07.026

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Applied Mathematics and Computation

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publication date

22 November 2019

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Mathematics Subject Classification ID

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stochastic differential equations (SDEs)

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stability in mean square

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contractivity in mean square

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drift-implicit Milstein scheme

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double-implicit Milstein scheme

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2018.07.026

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Stability analysis of solutions to nonlinear stiff Volterra functional differential equations in Banach spaces

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Preserving stability implicit Euler method for nonlinear Volterra and neutral functional differential equations in Banach space

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Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations

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Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Continuous Markov processes and stochastic equations

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Discrete approximation of stochastic differential equations

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Q4319807

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Approximate Integration of Stochastic Differential Equations

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Balanced Implicit Methods for Stiff Stochastic Systems

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Balanced Milstein Methods for Ordinary SDEs

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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Stable strong order 1.0 schemes for solving stochastic ordinary differential equations

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The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

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Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

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Two-step Milstein schemes for stochastic differential equations

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Split-step Milstein methods for multi-channel stiff stochastic differential systems

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Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

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Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

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

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Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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The truncated Milstein method for stochastic differential equations with commutative noise

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Numerical methods for nonlinear stochastic differential equations with jumps

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Strong contractivity properties of numerical methods for ordinary and delay differential equations

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Stability of numerical methods for delay differential equations

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First order strong approximations of scalar SDEs defined in a domain

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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