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

• Main Authors: Wang, Xiaojie, Gan, Siqing, Wang, Desheng
• 其他作者: School of Physical and Mathematical Sciences
• 格式: Article
• 語言: English
• 出版: 2013
• 在線閱讀: https://hdl.handle.net/10356/98993; http://hdl.handle.net/10220/12699
• 機構: 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...