Five-stage Milstein methods for SDEs

DOI10.1080/00207160.2012.657629zbMath1255.65017MaRDI QIDQ4903573

Samar Singh, Soumyendu Raha

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.657629

zbMATH Keywords

stability; stochastic differential equation; mean-square convergence; explicit method; mean convergence

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

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

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Unnamed Item, Study on split-step Rosenbrock type method for stiff stochastic differential systems, Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Split-step forward methods for stochastic differential equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations