Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation

DOI10.1007/S11075-017-0440-8MaRDI QIDQ1785531zbMATH OpenOpenAlexFDO

Authors Minoo Kamrani, Nahid Jamshidi

Publication date 1 October 2018

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-017-0440-8

zbMATH Keywords

convergenceimplicit Milstein methodstochastic differential equationsWong-Zakai approximation

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites work

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• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• The effect of integral conditions in certain equations modelling epidemics and population growth
• Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion

Cited in

(10)

• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Deterministic implicit two-step Milstein methods for stochastic differential equations
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
• Wong-Zakai approximation of stochastic Volterra integral equations
• Wong-Zakai approximations and support theorems for SDEs under Lyapunov conditions
• Wong–Zakai approximation of a stochastic partial differential equation with multiplicative noise
• Strong convergence rates of stochastic theta Milstein methods for index-1 stochastic differential algebraic equations under non-globally Lipschitz conditions
• Environmental stochastic effects on phytoplankton-zooplankton dynamics

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