A note on convergence and stability of the truncated Milstein method for stochastic differential equations

2018/09/17 by Zhan, Weijun, Jiang, Yanan, Liu, Wei
#FOS: Mathematics #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.1809.05993

Abstract

Some new techniques are employed to release significantly the requirements on the step size of the truncated Milstein method, which was originally developed in Guo, Liu, Mao and Yue (2018). The almost sure stability of the method is also investigated. Numerical simulations are presented to demonstrate the theoretical results.

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