| 求解随机微分方程的二级Milstein方法(英文) |
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| 引用本文： | 王鹏,吕显瑞,柳振鑫.求解随机微分方程的二级Milstein方法(英文)[J].东北数学,2008,24(1):63-76. |
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| 作者姓名： | 王鹏 吕显瑞 柳振鑫 |
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| 作者单位： | Institute of Mathematics;Jilin University;School of Mathematics; |
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| 基金项目： | Acknowledgment The authors would like to take this opportunity to thank Professor Li Yong for his instruction and encouragement. |
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| 摘 要： | In this paper we discuss two-stage Miistein methods for solving Ito stochastic differential equations （SDEs）. Six fully explicit methods （TSM 1 -- TSM 6） are given in this paper. Their order of strong convergence is proved. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of Ito SDEs.
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| 关 键 词： | 随机微分方程 二级Milstein方法 解法 概率论 |
Two-stage Milstein Methods for Stochastic Differential Equations |
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| WANG Peng LU Xian-rui LIU Zhen-xin.Two-stage Milstein Methods for Stochastic Differential Equations[J].Northeastern Mathematical Journal,2008,24(1):63-76. |
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| Authors: | WANG Peng LU Xian-rui LIU Zhen-xin |
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| Institution: | [1]Institute of Mathematics, Jilin University, Changchun, 130012 [2]School of Mathematics, Jilin University, Ghangchun, 130012 |
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| Abstract: | In this paper we discuss two-stage Milstein methods for solving It(o) stochastic differential equations(SDEs).Six fully explicit methods(TSM1-TSM 6)are given in this paper.Their order of strong convergence is proved.The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of It(o) SDEs. |
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| Keywords: | stochastic differential equation Euler-Maruyama method Milstein method stability strong convergence order |
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