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

DOI10.1016/j.cam.2017.12.025zbMath1382.65026arXiv1501.03695OpenAlexW2963948687MaRDI QIDQ1696428

Fuke Wu, Xiaofeng Zong, Guiping Xu

Publication date: 14 February 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.03695

zbMATH Keywords

strong convergence rateexponential mean-square stabilitysplit-step theta-Milstein schemestochastic theta-Milstein scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations, Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations, Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients, The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations, Numerical solution of stochastic state-dependent delay differential equations: convergence and stability, Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments, Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients, Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion, Mean-square stability of split-step theta Milstein methods for stochastic differential equations, Truncated Milstein method for non-autonomous stochastic differential equations and its modification, Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients, Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs, 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, Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate

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