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

• المؤلفون الرئيسيون: Wang, Xiaojie, Gan, Siqing, Wang, Desheng
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2013
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/98993; http://hdl.handle.net/10220/12699
• المؤسسة: 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...