scientific article

zbMath1212.65020MaRDI QIDQ3052503

Peng Wang, Yuecai Han

Publication date: 5 November 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

numerical resultssplitting techniqueItô stochastic differential equationmean-square stabilitybackward Milstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

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Split-step Milstein methods for multi-channel stiff stochastic differential systems ⋮ Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model

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