Balanced Milstein Methods for Ordinary SDEs

DOI10.1515/156939606777488842zbMATH Open1105.65009OpenAlexW2049801158MaRDI QIDQ5487895FDOQ5487895

Authors: Christian Kahl, Henri Schurz 

Publication date: 13 September 2006

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939606777488842

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zbMATH Keywords

consistencyconvergencenumerical examplesstabilityEuler schemeMilstein schemestochastic differential equations (SDEs)Cox-Ingersoll-Ross modelbalanced implicit methodsinvariance-preservingpathwise positivity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
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Cited In (44)

• Derivation of several SDE systems in one- and two-locus population genetics
• Implicit numerical solutions for solving stochastic differential equations with jumps
• The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• Stochastically adaptive control and synchronization: from globally one-sided Lipschitzian to only locally Lipschitzian systems
• Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
• Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
• Split-step backward balanced Milstein methods for stiff stochastic systems
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• Split-step double balanced approximation methods for stiff stochastic differential equations
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Analytical approximation for distorted expectations
• A class of split-step balanced methods for stiff stochastic differential equations
• Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• An improved Milstein method for stiff stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• First-order weak balanced schemes for stochastic differential equations
• Title not available (Why is that?)
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• On the construction of boundary preserving numerical schemes
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
• Fast strong approximation Monte Carlo schemes for stochastic volatility models
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
• Approximating explicitly the mean-reverting CEV process
• Chi-square simulation of the CIR process and the Heston model
• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs

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