Mean-square stability properties of an adaptive time-stepping SDE solver
نویسنده
چکیده
We consider stability properties of a class of adaptive time-stepping schemes based upon the Milstein method for stochastic differential equations with a single scalar forcing. In particular we focus upon mean-square stability for a class of linear test problems with multiplicative noise. We demonstrate that highly desirable stability properties can be induced in the numerical solution by the use of two realistic local error controls, one for the drift term and one for the diffusion.
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