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
stochastic differential equationmean-square stabilitymean-square convergencetwo-step Milstein methoddeterministic implicit method
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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- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Implicit Taylor methods for stiff stochastic differential equations
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- Multistep methods for SDEs and their application to problems with small noise
- Mean-square convergence of stochastic multi-step methods with variable step-size
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- Generalized two-step Milstein methods for stochastic differential equations
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- 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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