Two-step Milstein schemes for stochastic differential equations

DOI10.1007/s11075-014-9918-9zbMath1322.60138MaRDI QIDQ2356076

M. J. Senosiain, Alicia Tocino

Publication date: 28 July 2015

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-014-9918-9

zbMATH Keywords

stochastic differential equations; mean square stability; stochastic Adams-Bashforth method; stochastic Adams-Moulton method; two-step Milstein schemes

Mathematics Subject Classification ID

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

60H05: Stochastic integrals

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

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Generalized two-step Milstein methods for stochastic differential equations, Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations, Mean-square stability of split-step theta Milstein methods for stochastic differential equations, Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs, Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps, Deterministic implicit two-step Milstein methods for stochastic differential equations, Generalized two-step Maruyama methods for stochastic differential equations, Two-step strong order 1.5 schemes for stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
• Mean-square stability analysis of numerical schemes for stochastic differential systems
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• \(A\)-stability and stochastic mean-square stability
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
• Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Multistep methods for SDEs and their application to problems with small noise
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Numerical Analysis of Stochastic Schemes in Geophysics