The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

DOI10.1080/10236198.2012.656617MaRDI QIDQ4916362zbMATH OpenOpenAlexFDO

Authors Xiaojie Wang, Siqing Gan

Publication date 22 April 2013

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.0662

zbMATH Keywords

commutative noiseone-sided Lipschitz conditionstrong convergencesuperlinearly growing coefficienttamed Milstein method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: For stochastic differential equations (SDEs) with a superlinearly growing and globally one-sided Lipschitz continuous drift coefficient, the classical explicit Euler scheme fails to converge strongly to the exact solution. Recently, an explicit strongly convergent numerical scheme, called the tamed Euler method, is proposed in [Hutzenthaler, Jentzen & Kloeden, Ann. Appl. Probab., 22 (2012), pp. 1611-1641.] for such SDEs. Motivated by their work, we here introduce a tamed version of the Milstein scheme for SDEs with commutative noise. The proposed method is also explicit and easily implementable, but achieves higher strong convergence order than the tamed Euler method does. In recovering the strong convergence order one of the new method, new difficulties arise and kind of a bootstrap argument is developed to overcome them. Finally, an illustrative example confirms the computational efficiency of the tamed Milstein method compared to the tamed Euler method.

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