Sinch, Samar (2012) SPLIT-STEP FORWARD MILSTEIN METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS. In: INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 9 (4). pp. 970-981.
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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.
|Item Type:||Journal Article|
|Additional Information:||Copyright for this article belongs to the Institute for Scientific Computing and Information|
|Keywords:||Stochastic differential equation; Explicit-method; Mean convergence; Mean square convergence; Stability; Numerical experiment|
|Department/Centre:||Division of Physical & Mathematical Sciences > Mathematics|
|Date Deposited:||11 Sep 2012 06:53|
|Last Modified:||11 Sep 2012 06:53|
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