Five-stage Milstein methods for SDEs

DOI10.1080/00207160.2012.657629MaRDI QIDQ4903573zbMATH OpenOpenAlexFDO

Authors 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

explicit methodmean convergencemean-square convergencestabilitystochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Split-step forward methods for stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations

Cited in

(4)

• Two-stage Milstein methods for stochastic differential equations
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• Modifying the split-step -method with harmonic-mean term for stochastic differential equations
• Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations

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