A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

• Main Authors: Wang, Xiaojie, Gan, Siqing, Wang, Desheng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Online Access: https://hdl.handle.net/10356/98993; http://hdl.handle.net/10220/12699
• Institution: Nanyang Technological University

In this paper a family of fully implicit Milstein methods are introduced for solving stiff stochastic differential equations (SDEs). It is proved that the methods are convergent with strong order 1.0 for a class of SDEs. For a linear scalar test equation with multiplicative noise terms, mean-square and almost sure asymptotic stability of the methods are also investigated. We combine analytical and numerical techniques to get insights into the stability properties. The fully implicit methods are shown to be superior to those of the corresponding semi-implicit methods in term of stability property. Finally, numerical results are reported to illustrate the convergence and stability results.