Balanced Milstein Methods for Ordinary SDEs

被引：67

作者：

Kahl, Christian ^{[1
]}

Schurz, Henri ^{[2
]}

机构：

[1] Univ Wuppertal, Dept Math, Gaussstr 20, D-42119 Wuppertal, Germany

[2] Southern Illinois Univ, Dept Math, Carbondale, IL 62901 USA

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2006年 / 12卷 / 02期

关键词：

D O I：

10.1163/156939606777488842

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Convergence, consistency, stability and pathwise positivity of balanced Milstein methods for numerical integration of ordinary stochastic differential equations (SDEs) are discussed. This family of numerical methods represents a class of highly efficient linear-implicit schemes which generate mean square converging numerical approximations with qualitative improvements and global rate 1.0 of mean square convergence, compared to commonly known numerical methods for SDEs with Lipschitzian coefficients.

引用

页码：143 / 170

页数：28

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