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

DOI10.1007/s10543-012-0370-8zbMath1259.65007MaRDI QIDQ1759581

Desheng Wang, Xiao-Jie Wang, Si-qing Gan

Publication date: 21 November 2012

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-012-0370-8

zbMATH Keywords

stability; strong convergence; numerical experiments; mean-square stability; almost sure asymptotic stability; stiff stochastic differential equation; fully implicit Milstein method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L04: Numerical methods for stiff equations

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Uses Software

• RODAS

Cites Work

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