The truncated Milstein method for stochastic differential equations with commutative noise

DOI10.1016/J.CAM.2018.01.014MaRDI QIDQ1743967zbMATH OpenOpenAlexFDO

Authors Qian Guo, Wei Liu, Xuerong Mao, Rong-Xian Yue

Publication date 16 April 2018

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1704.04135

zbMATH Keywords

strong convergence ratenon-global Lipschitz conditionnonlinear stochastic differential equations with commutative noisetruncated Milstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: Inspired by the truncated Euler-Maruyama method developed in Mao (J. Comput. Appl. Math. 2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly non-linear stochastic differential equations. Numerical examples are given to illustrate the theoretical results.

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