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Elsevier, Applied Numerical Mathematics, (89), p. 1-23

DOI: 10.1016/j.apnum.2014.10.005

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Split-step Milstein methods for multi-channel stiff stochastic differential systems

Journal article published in 2014 by V. Reshniak ORCID, A. Q. M. Khaliq, D. A. Voss, G. Zhang ORCID
This paper is available in a repository.
This paper is available in a repository.

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Abstract

We consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of convergence and investigate mean-square stability properties for different noise and drift structures. The stability matrices are established in a form convenient for analyzing their impact arising from different deterministic drift integrators. Numerical examples are provided to illustrate the effectiveness and reliability of these methods. ; Comment: 31 pages, 38 figures