Split-step Milstein methods for multi-channel stiff stochastic differential systems
Numerical Analysis
2014-11-27 v1 Dynamical Systems
Probability
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.
Cite
@article{arxiv.1411.7080,
title = {Split-step Milstein methods for multi-channel stiff stochastic differential systems},
author = {V. Reshniak and A. Q. M. Khaliq and D. A. Voss and G. Zhang},
journal= {arXiv preprint arXiv:1411.7080},
year = {2014}
}
Comments
31 pages, 38 figures