求解刚性随机系统的分步向后Milstein方法

J4 ›› 2009, Vol. 47 ›› Issue (6): 1150-1154.

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Splitstep Backward Milstein Methods for Stiff Stochastic Systems

WANG Peng¹, HAN Yuecai²

1. Institute of Mathematics, Jilin University, Changchun 130012, China;2. College of Mathematics, Jilin University, Changchun 130012, China

Received:2009-03-09 Online:2009-11-26 Published:2010-01-07
Contact: WANG Peng E-mail:pwang@jlu.edu.cn.

Abstract

Abstract:

The authors presented and analyzed splitstep backward Milstein methods for solving It stochastic differential equations (SDEs). Two methods, a DSSBM method and an MSSBM method, were constructed based on the splitting technique. We proved that these methods are of strong order 1. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of stiff SDEs.

Key words: stochastic differential equation, Milstein method, meansquare stability

CLC Number:

O241.8

WANG Peng, HAN Yuecai. Splitstep Backward Milstein Methods for Stiff Stochastic Systems[J].J4, 2009, 47(6): 1150-1154.

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Splitstep Backward Milstein Methods for Stiff Stochastic Systems

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