A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
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Publication:632730
DOI10.1016/J.MATCOM.2010.09.015zbMATH Open1219.60066arXiv0912.1968OpenAlexW2032759951MaRDI QIDQ632730FDOQ632730
Authors: Evelyn Buckwar, Thorsten Sickenberger 
Publication date: 25 March 2011
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Abstract: In this article we compare the mean-square stability properties of the Theta-Maruyama and Theta-Milstein method that are used to solve stochastic differential equations. For the linear stability analysis, we propose an extension of the standard geometric Brownian motion as a test equation and consider a scalar linear test equation with several multiplicative noise terms. This test equation allows to begin investigating the influence of multi-dimensional noise on the stability behaviour of the methods while the analysis is still tractable. Our findings include: (i) the stability condition for the Theta-Milstein method and thus, for some choices of Theta, the conditions on the step-size, are much more restrictive than those for the Theta-Maruyama method; (ii) the precise stability region of the Theta-Milstein method explicitly depends on the noise terms. Further, we investigate the effect of introducing partially implicitness in the diffusion approximation terms of Milstein-type methods, thus obtaining the possibility to control the stability properties of these methods with a further method parameter Sigma. Numerical examples illustrate the results and provide a comparison of the stability behaviour of the different methods.
Full work available at URL: https://arxiv.org/abs/0912.1968
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linear stability analysisstochastic differential equations\(\theta\)-Maruyama methodasymptotic mean-square stability\(\theta \)-Milstein method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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