Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs

Jinran Yao and Siqing Gan

Applied Mathematics and Computation, 2018, vol. 339, issue C, 294-301

Abstract: This paper examines the stability of numerical solutions of nonlinear stochastic differential equations (SDEs) with non-global Lipschitz continuous coefficients. Two implicit Milstein schemes, called drift-implicit Milstein scheme and double-implicit Milstein scheme, are considered to simulate the underlying SDEs. It is proved that the schemes can preserve the stability and contractivity in mean square of the underlying systems.

Keywords: Stochastic differential equations (SDEs); Stability in mean square; Contractivity in mean square; Drift-implicit Milstein scheme; Double-implicit Milstein scheme (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:339:y:2018:i:c:p:294-301

DOI: 10.1016/j.amc.2018.07.026

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