Stabilized Milstein Type Methods for Stiff Stochastic Systems
نویسنده
چکیده
In this paper we discuss Milstein type methods with implicitness for solving Itô stochastic differential equations (SDEs). For different Milstein type methods, the regions of mean-square (MS) stability are examined. The drift implicit balanced Milstein (DIBM) method and the semi-implicit balanced Milstein (SIBM) method are proposed in this paper. The obtained results show that the MS-stability of Milstein type methods with implicitness is better than that of the classical Milstein method. This is also verified by some numerical examples.
منابع مشابه
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