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.
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页码：970 / 981
页数：12
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