Split-step Milstein methods for multi-channel stiff stochastic differential systems
arXiv:1411.7080 · doi:10.1016/j.apnum.2014.10.005
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.
31 pages, 38 figures