Split-step Forward Milstein Method for Stochastic Differential Equations
نویسنده
چکیده
In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Itô form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order γ = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods.
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