Numerical contractivity preserving implicit balanced Milstein-type schemes for SDEs with non-global Lipschitz coefficients

Numerical contractivity preserving implicit balanced Milstein-type schemes for SDEs with non-global Lipschitz coefficients

Stability analysis, which was investigated in this paper, is one of the main issues related to numerical analysis for stochastic dynamical systems (SDS) and has the same important significance as the convergence one. To this end, we introduced the concept of $ p $-th moment stability for the $ n $-d...

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Bibliographic Details
Main Authors: Jinran Yao, Zhengwei Yin
Format: Article
Language:English
Published: AIMS Press 2024-01-01
Series:AIMS Mathematics
Subjects:
stochastic differential equations
$ p $-th moment stability
mean square contractivity
drift-implicit balanced milstein scheme
semi-implicit balanced milstein scheme
initial perturbation
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024137?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024137?viewType=HTML

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