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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Abstract
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 |
|---|---|
| Publication: | INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING |
| Publisher: | ISCI-INST SCIENTIFIC COMPUTING & INFORMATION |
| 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 |
| URI: | http://eprints.iisc.ac.in/id/eprint/45020 |
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