Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4645084 | Applied Numerical Mathematics | 2015 | 23 Pages |
Abstract
We consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of convergence and investigate mean-square stability properties for different noise and drift structures. The stability matrices are established in a form convenient for analyzing their impact arising from different deterministic drift integrators. Numerical examples are provided to illustrate the effectiveness and reliability of these methods.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics
Authors
V. Reshniak, A.Q.M. Khaliq, D.A. Voss, G. Zhang,