Two-step Milstein schemes for stochastic differential equations

DOI10.1007/S11075-014-9918-9MaRDI QIDQ2356076zbMATH OpenOpenAlexFDO

Authors M. J. Senosiain, A. 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

mean square stabilitystochastic Adams-Bashforth methodstochastic Adams-Moulton methodstochastic differential equationstwo-step Milstein schemes

Mathematics Subject Classification ID

Stochastic integrals (60H05) 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)

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Cites work

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Cited in

(28)

• Mean-square stability of split-step theta Milstein methods for stochastic differential equations
• A simplified Milstein scheme for SPDEs with multiplicative noise
• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• 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
• Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Generalized two-step Maruyama methods for stochastic differential equations
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• Two-step strong order 1.5 schemes for stochastic differential equations
• Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
• Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
• Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
• On two-step schemes for SDEs with small noise
• Double-implicit and split two-step Milstein schemes for stochastic differential equations
• scientific article; zbMATH DE number 5812226 (Why is no real title available?)
• Two-stage Milstein methods for stochastic differential equations
• scientific article; zbMATH DE number 1244257 (Why is no real title available?)
• scientific article; zbMATH DE number 1368826 (Why is no real title available?)
• Five-stage Milstein methods for SDEs
• scientific article; zbMATH DE number 6164564 (Why is no real title available?)
• Generalized two-step Milstein methods for stochastic differential equations
• The implementation of Milstein scheme in two-dimensional SDEs using non-degeneracy for the diffusion term
• Balanced Milstein Methods for Ordinary SDEs
• Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
• Balanced implicit two-step Maruyama methods for stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

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