Split-Step Forward Milstein Method for Stochastic Differential Equation

Split-Step Forward Milstein Method for Stochastic Differential Equation

Year:    2012

International Journal of Numerical Analysis and Modeling, Vol. 9 (2012), Iss. 4 : pp. 970–981

Abstract

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Itô 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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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/2012-IJNAM-668

International Journal of Numerical Analysis and Modeling, Vol. 9 (2012), Iss. 4 : pp. 970–981

Published online:    2012-01

AMS Subject Headings:    Global Science Press

Copyright:    COPYRIGHT: © Global Science Press

Pages:    12

Keywords:    Stochastic differential equation Explicit method Mean convergence Mean square convergence Stability Numerical experiment.