SPLIT-STEP FORWARD MILSTEIN METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

被引：0

作者：

Sinch, Samar ^{[1
]}

机构：

[1] Indian Inst Sci, HSc Math Initiat, Dept Math, Bangalore 560012, Karnataka, India

来源：

INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING | 2012年 / 9卷 / 04期

关键词：

Stochastic differential equation; Explicit-method; Mean convergence; Mean square convergence; Stability; Numerical experiment;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Ito form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order gamma = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods.

引用

页码：970 / 981

页数：12

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