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International Journal of Computer Mathematics Volume 93, 2016 - Issue 12
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Original Articles

Double-implicit and split two-step Milstein schemes for stochastic differential equations

Fengze JiangSchool of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan430074, ChinaView further author information
,
Xiaofeng ZongAcademy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing100190, ChinaCorrespondence[email protected]
[email protected]
View further author information
,
Chao YueSchool of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan430074, ChinaView further author information
&
Chengming HuangSchool of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan430074, ChinaView further author information
Pages 1987-2011 | Received 01 Feb 2015, Accepted 30 Jul 2015, Published online: 02 Sep 2015

Citations (6)

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Read on this site (1)

Xiuyan Li, Chiping Zhang, Qiang Ma & Xiaohua Ding. (2018) Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations. International Journal of Computer Mathematics 95:12, pages 2511-2524.
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Articles from other publishers (5)

Hassan Ranjbar, Leila Torkzadeh, Dumitru Baleanu & Kazem Nouri. (2023) Simulating systems of Itô SDEs with split-step $ (\alpha, \beta) $-Milstein scheme. AIMS Mathematics 8:2, pages 2576-2590.
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Mahmoud A. Eissa & Qiang Ye. (2020) Convergence, non-negativity and stability of a new Lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model. Japan Journal of Industrial and Applied Mathematics 38:2, pages 391-424.
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Philip A. Ernst & Fazlollah Soleymani. (2018) A Legendre-based computational method for solving a class of Itô stochastic delay differential equations. Numerical Algorithms 80:4, pages 1267-1282.
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Jinran Yao & Siqing Gan. (2018) Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs. Applied Mathematics and Computation 339, pages 294-301.
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Mahmoud A. Eissa, Haiying Zhang & Yu Xiao. (2018) Mean-Square Stability of Split-Step Theta Milstein Methods for Stochastic Differential Equations. Mathematical Problems in Engineering 2018, pages 1-13.
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