Improvement of Split-Step Forward Milstein Schemes for SODEs Arising in Mathematical Physics

Hassan Ranjbar, Kazem Nouri, Leila Torkzadeh and Zahir Shah

Mathematical Problems in Engineering, 2022, vol. 2022, 1-7

Abstract: In the present investigation, new explicit approaches by the Milstein method and increment function of the Jacobian derivative of the drift coefficient are designed. Several numerical tests such as Cox–Ingersoll–Ross process, stochastic Brusselator, and Davis-Skodje system are presented to illustrate the accuracy and the efficiency of our schemes. Furthermore, we show that the strong convergence rate of our procedures is approximately one.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7498865

DOI: 10.1155/2022/7498865

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