Convergence and Stability of Split-Step Milstein Schemes for Stochastic Di erential Equations
Journal Title: Asian Research Journal of Mathematics - Year 2017, Vol 2, Issue 3
Abstract
In this paper, the mean square convergence and stability of the split-step theta-Milstein schemes for stochastic differential equations are discussed. First, it is shown that these methods are mean square convergent with strong order 1. Then, we investigate the mean square stability of the split-step theta-Milstein methods. Finally, numerical examples are presented to illustrate the theoretical results.
Authors and Affiliations
Lingzhi Teng, Haomin Zhang, Xiaoting Tao
Keywords
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- EP ID EP338429
- DOI 10.9734/ARJOM/2017/30465
- Views 79
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