Split-step Milstein methods for multi-channel stiff stochastic differential systems
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convergencenumerical examplestochastic differential equationsmean-square stabilitystiff equationsMilstein methodsplit-step methodLangevin equationsmulti-channel noise
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Abstract: We consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of convergence and investigate mean-square stability properties for different noise and drift structures. The stability matrices are established in a form convenient for analyzing their impact arising from different deterministic drift integrators. Numerical examples are provided to illustrate the effectiveness and reliability of these methods.
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Cites work
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Cited in
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- Double-implicit and split two-step Milstein schemes for stochastic differential equations
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- A brief review on stability investigations of numerical methods for systems of stochastic differential equations
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- Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
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- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
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- scientific article; zbMATH DE number 6164564 (Why is no real title available?)
- Study on split-step Rosenbrock type method for stiff stochastic differential systems
- Modifying the split-step \(\theta \)-method with harmonic-mean term for stochastic differential equations
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
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