Mean-square stability properties of an adaptive time-stepping SDE solver
adaptive time-stepping Milstein methoderror controlmean-square stabilitynumerical resultsnumerical stability boundarystochastic differential equationsvariable step-size
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) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50) Error bounds for numerical methods for ordinary differential equations (65L70)
Using the stochastic test equation \[ dX= \lambda X\,dt+ \mu X\, dW,\quad X(0)= X_0\neq 0 \] where \(W(t)\) is a standard Wiener process, the authors study the mean-square stability of an adaptive time-stepping Milstein method for approximating the solutions of stochastic differential equations. To determine the appropriate step sizes, two local error controls are devised, one based on the drift term and the other on the diffusion term of the test equation. Numerical results are presented and used to estimate the numerical stability boundary.
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