Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4643011 | Journal of Computational and Applied Mathematics | 2006 | 10 Pages |
Abstract
We consider stability properties of a class of adaptive time-stepping schemes based upon the Milstein method for stochastic differential equations with a single scalar forcing. In particular, we focus upon mean-square stability for a class of linear test problems with multiplicative noise. We demonstrate that desirable stability properties can be induced in the numerical solution by the use of two realistic local error controls, one for the drift term and one for the diffusion.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
H. Lamba, T. Seaman,