Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

2015/01/15 by Zong, Xiaofeng, Wu, Fuke, Xu, Guiping
#FOS: Mathematics #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.1501.03695

Abstract

This paper examines convergence and stability of the two classes of theta-Milstein schemes for stochastic differential equations (SDEs) with non-global Lipschitz continuous coefficients: the split-step theta-Milstein (SSTM) scheme and the stochastic theta-Milstein (STM) scheme. For θ∈[1/2,1], this paper concludes that the two classes of theta-Milstein schemes converge strongly to the exact solution with the order 1. For θ∈ [0,1/2], under the additional linear growth condition for the drift coefficient, these two classes of the theta-Milstein schemes are also strongly convergent with the standard order. This paper also investigates exponential mean-square stability of these two classes of the theta-Milstein schemes. For θ∈(1/2, 1], these two theta-Milstein schemes can share the exponential mean-square stability of the exact solution. For θ∈[0, 1/2], similar to the convergence, under the additional linear growth condition, these two theta-Milstein schemes can also reproduce the exponential mean-square stability of the exact solution.

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