A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
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...
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Main Authors: | Wang, Xiaojie, Gan, Siqing, Wang, Desheng |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Article |
Language: | English |
Published: |
2013
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Online Access: | https://hdl.handle.net/10356/98993 http://hdl.handle.net/10220/12699 |
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Institution: | Nanyang Technological University |
Language: | English |
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