The composite Milstein methods for the numerical solution of Itô stochastic differential equations

DOI10.1016/J.CAM.2010.10.026MaRDI QIDQ629486zbMATH OpenOpenAlexFDO

Authors M. A. Omar, Abdel-Karim Aboul-Hassan, Sherif I. Rabia

Publication date 9 March 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2010.10.026

zbMATH Keywords

numerical stabilitystochastic differential equationscomposite Euler methodcomposite Milstein methodMilstein methods

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)

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Cites work

• scientific article; zbMATH DE number 50395 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 834475 (Why is no real title available?)
• A note on the balanced method
• A note on the stability properties of the Euler methods for solving stochastic differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Balanced Milstein Methods for Ordinary SDEs
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• The composite Euler method for stiff stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

Cited in

(17)

• Strong convergence in \(L^p\) of Milstein method for Itô stochastic differential equations
• Stochastic thermal shock problem and study of wave propagation in the theory of generalized thermoelastic diffusion
• A stochastic thermoelastic diffusion interaction in an infinitely long annular cylinder
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
• The composite Euler method for stiff stochastic differential equations
• A stochastic half-space problem in the theory of generalized thermoelastic diffusion including heat source
• Three-dimensional modeling of tsunami generation and propagation under the effect of stochastic seismic fault source model in linearized shallow-water wave theory
• An Ito-Taylor weak 3.0 method for stochastic dynamics of nonlinear systems
• Two-stage Milstein methods for stochastic differential equations
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate
• Environmental stochastic effects on phytoplankton-zooplankton dynamics
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation

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