Generalized Two-Step Milstein Methods For Stochastic Differential Equations

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS（2020）

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摘要

The main aim of this study is to propose a class of generalized two-step Milstein methods for solving Ito stochastic differential equations. We study their mean-square consistency and mean-square convergence and derive some conditions for the linear mean-square stability of the generalized two-step Milstein methods. Numerical examples are given to confirm the theoretical results.

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关键词

Stochastic differential equation, generalized two-step Milstein methods, mean-square consistency, mean-square convergence, linear mean-square stability

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