The truncated Milstein method for stochastic differential equations with commutative noise

DOI10.1016/J.CAM.2018.01.014zbMATH Open1503.65014arXiv1704.04135OpenAlexW2783875654MaRDI QIDQ1743967FDOQ1743967

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)

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.

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

Recommendations

• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Convergence and exponential stability of modified truncated Milstein method for stochastic differential equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Convergence rate of the truncated Milstein method of stochastic differential delay equations
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

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)

Cites Work

• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.
• Modeling with Itô Stochastic Differential Equations
• Multilevel Monte Carlo Path Simulation
• Title not available (Why is that?)
• Stochastic differential equations and applications.
• Numerical solution of stochastic differential equations with jumps in finance
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Balanced Implicit Methods for Stiff Stochastic Systems
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Improved multilevel Monte Carlo convergence using the Milstein scheme
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Title not available (Why is that?)
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
• Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
• Approximate Integration of Stochastic Differential Equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• A note on tamed Euler approximations
• First order strong approximations of scalar SDEs defined in a domain
• Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
• Stochastic ordinary differential equations in applied and computational mathematics
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods

Cited In (33)

• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• A positivity preserving Milstein-type method for stochastic differential equations with positive solutions
• The truncated Milstein method for super-linear stochastic differential equations with Markovian switching
• Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
• Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations
• Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
• A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
• Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error
• Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
• Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• On the approximations of solutions to stochastic differential equations under polynomial condition
• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
• Convergence and exponential stability of modified truncated Milstein method for stochastic differential equations
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Title not available (Why is that?)
• Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate
• Convergence and stability of an explicit numerical method for stochastic differential equations with piecewise continuous arguments
• Title not available (Why is that?)
• Title not available (Why is that?)
• Abundant exact soliton solutions of the \((2+1)\)-dimensional Heisenberg ferromagnetic spin chain equation based on the Jacobi elliptic function ideas
• Mean-square convergence of an explicit derivative-free truncated method for nonlinear SDEs covering the non-commutative noise case
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs

This page was built for publication: The truncated Milstein method for stochastic differential equations with commutative noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1743967)