Simulating systems of Itô SDEs with split-step (α,β)-Milstein scheme

Simulating systems of Itô SDEs with split-step (α,β)-Milstein scheme

In the present study, we provide a new approximation scheme for solving stochastic differential equations based on the explicit Milstein scheme. Under sufficient conditions, we prove that the split-step (α,β)-Milstein scheme strongly convergence to the exact solution with order 1.0 in mean-square se...

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Bibliographic Details
Main Authors: Hassan Ranjbar, Leila Torkzadeh, Dumitru Baleanu, Kazem Nouri
Format: Article
Language:English
Published: AIMS Press 2023-01-01
Series:AIMS Mathematics
Subjects:
itô stochastic ordinary differential equations
mean-square convergence
mean-square stability
split-step milstein scheme
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2023133?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2023133?viewType=HTML

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