Deterministic implicit two-step Milstein methods for stochastic differential equations

DOI10.1016/J.SPL.2021.109208zbMATH Open1489.60120OpenAlexW3190259255WikidataQ115341065 ScholiaQ115341065MaRDI QIDQ2244530FDOQ2244530

Quanwei Ren, Hongjiong Tian, Tianhai Tian

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109208

zbMATH Keywords

stochastic differential equationmean-square stabilitymean-square convergencetwo-step Milstein methoddeterministic implicit 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Implicit Taylor methods for stiff stochastic differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Adams methods for the efficient solution of stochastic differential equations with additive noise
• Adams-type methods for the numerical solution of stochastic ordinary differential equations
• Multistep methods for SDEs and their application to problems with small noise
• Mean-square convergence of stochastic multi-step methods with variable step-size
• Two-step Milstein schemes for stochastic differential equations
• Generalized two-step Milstein methods for stochastic differential equations
• Numerical Analysis of Stochastic Schemes in Geophysics

Cited In (5)

• Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps
• Five-stage Milstein methods for SDEs
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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