Split-step Milstein methods for multi-channel stiff stochastic differential systems
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Publication:482399
DOI10.1016/J.APNUM.2014.10.005zbMATH Open1306.65008arXiv1411.7080OpenAlexW2082917657MaRDI QIDQ482399FDOQ482399
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 30 December 2014
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Abstract: We consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of convergence and investigate mean-square stability properties for different noise and drift structures. The stability matrices are established in a form convenient for analyzing their impact arising from different deterministic drift integrators. Numerical examples are provided to illustrate the effectiveness and reliability of these methods.
Full work available at URL: https://arxiv.org/abs/1411.7080
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convergencenumerical examplestochastic differential equationsmean-square stabilitystiff equationsMilstein methodsplit-step methodLangevin equationsmulti-channel noise
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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