A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
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Publication:632730
\(\theta \)-Milstein method\(\theta\)-Maruyama methodasymptotic mean-square stabilitylinear stability analysisstochastic differential equations
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)
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.
The authors consider the scalar linear stochastic differential equation \[ dX(t) = \lambda X(t)dt + \sum_{r=1}^m \mu_r X(t)dW_r(t), \quad t \geq t_0 \geq 0, \quad X(t_0)= X_0, \] driven by an \(m\)-dimensional standard Wiener process \(W(t) = (W_1(t), \dots, W_m(t))\). They then compare the mean-square stability properties of the \(\theta\)-Maruyama and the \(\theta\)-Milstein method when applied to this test equation. In particular, they provide necessary and sufficient conditions for mean-square stability in each case, showing that the condition in the case of the \(\theta\)-Milstein method involves terms in addition to those also present for the \(\theta\)-Maruyama method, which explicitly depend on the coefficients of the diffusion term. Further, by introducing a method parameter \(\sigma\) into the diffusion approximation terms of the Milstein-type methods, thus obtaining a partial implicitness in these diffusion approximation terms, they study the effect of having some control over the stability properties of these methods. Numerical examples illustrate the results and provide a comparison of the stability behaviour of the different methods.
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