A Note on Convergence and Stability of the Truncated Milstein Method for Stochastic Differential Equations

被引：0
|
作者：
Zhan, Weijun [1 ]
Jiang, Yanan [2 ]
机构：
[1] Anhui Normal Univ, Dept Math, Wuhu, Peoples R China
[2] Shanghai Lixin Univ Accounting & Finance, Coll Informat Management, Shanghai, Peoples R China
来源：
FLUCTUATION AND NOISE LETTERS | 2024年
关键词：
Stochastic differential equation; truncated Milstein method; super-linear growth condition; strong convergence rate; almost-sure stability; EULER-MARUYAMA METHOD; FINITE; RATES; SDES;
D O I：
10.1142/S0219477524500640
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Some new techniques are employed to release significantly the requirements on the step size of the truncated Milstein method, which was originally developed in Guo et al. [The truncated Milstein method for stochastic differential equations with commutative noise, J. Comput. Appl. Math. 338 (2018) 298-310]. The almost-sure stability of the method is also investigated. Numerical simulations are presented to demonstrate the theoretical results.
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页数：16
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