Mean-square stability of split-step theta Milstein methods for stochastic differential equations

DOI10.1155/2018/1682513MaRDI QIDQ1720452zbMATH OpenOpenAlexFDO

Authors Mahmoud A. Eissa, Haiying Zhang, Yu Xiao

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2018/1682513

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

Summary: The fundamental analysis of numerical methods for stochastic differential equations (SDEs) has been improved by constructing new split-step numerical methods. In this paper, we are interested in studying the mean-square (MS) stability of the new general drifting split-step theta Milstein (DSS \(\theta\) M) methods for SDEs. First, we consider scalar linear SDEs. The stability function of the DSS \(\theta\) M methods is investigated. Furthermore, the stability regions of the DSS \(\theta\) M methods are compared with those of test equation, and it is proved that the methods with \(\theta \geq 3 / 2\) are stochastically A-stable. Second, the nonlinear stability of DSS \(\theta\) M methods is studied. Under a coupled condition on the drifting and diffusion coefficients, it is proved that the methods with \(\theta > 1 / 2\) can preserve the MS stability of the SDEs with no restriction on the step-size. Finally, numerical examples are given to examine the accuracy of the proposed methods under the stability conditions in approximation of SDEs.

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Cited in

(14)

• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
• Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
• Double-implicit and split two-step Milstein schemes for stochastic differential equations
• scientific article; zbMATH DE number 5812226 (Why is no real title available?)
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• Exploring derivative-free split-step and balanced solvers for Itô stochastic differential equations
• Mean square A- and L-stability of balanced midpoint Milstein methods for one-dimensional bi-linear stochastic differential equations

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