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.

引用

页数：16

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