J4 ›› 2011, Vol. 49 ›› Issue (06): 1058-1060.
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ZHANG Yuxin1,2, WANG Peng1
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The almost sure and moment exponential stability of the Milstein scheme for stochastic differential equations were studied. We focused our attention on these stability properties in the limit as the timestep tends to zero and we proved that under proper conditions, explicit and semiimplicit Milstein methods maintain these stability properties.
Key words: Milstein method, semiimplicit Milstein method, linear growth condition
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ZHANG Yu-Xin, WANG Feng. Almost Sure and Moment Exponential Stability ofMilstein Methods for Stochastic Differential Equations[J].J4, 2011, 49(06): 1058-1060.
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URL: http://xuebao.jlu.edu.cn/lxb/EN/
http://xuebao.jlu.edu.cn/lxb/EN/Y2011/V49/I06/1058
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