中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
Double-implicit and split two-step Milstein schemes for stochastic differential equations

文献类型：期刊论文

作者Jiang, Fengze1; Zong, Xiaofeng2; Yue, Chao1; Huang, Chengming1
刊名INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS
出版日期2016-12-01
卷号93期号:12页码:1987-2011
关键词double-implicit Milstein method split two-step Milstein method strong convergence exponential mean square stability
ISSN号0020-7160
DOI10.1080/00207160.2015.1081182
英文摘要In this work, we propose two classes of two-step Milstein-type schemes : the double-implicit Milstein scheme and the split two-step Milstein scheme, to solve stochastic differential equations (SDEs). Our results reveal that the two new schemes are strong convergent with order one. Moreover, with a restriction on stepsize, these two schemes can preserve the exponential mean square stability of the original SDEs, and the decay rate of numerical solution will converge to the decay rate of the exact solution. Numerical experiments are performed to confirm our theoretic findings.
资助项目NSF of China[91130003] ; NSF of China[11371157] ; NSF of China[1422110] ; NSF of China[61473125] ; NSF of China[11301198] ; Fundamental Research Funds for the Central Universities[2013TS137]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000389437900002
出版者TAYLOR & FRANCIS LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/24284]  
专题中国科学院数学与系统科学研究院
通讯作者Zong, Xiaofeng
作者单位1.Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Jiang, Fengze,Zong, Xiaofeng,Yue, Chao,et al. Double-implicit and split two-step Milstein schemes for stochastic differential equations[J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS,2016,93(12):1987-2011.
APA Jiang, Fengze,Zong, Xiaofeng,Yue, Chao,&Huang, Chengming.(2016).Double-implicit and split two-step Milstein schemes for stochastic differential equations.INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS,93(12),1987-2011.
MLA Jiang, Fengze,et al."Double-implicit and split two-step Milstein schemes for stochastic differential equations".INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS 93.12(2016):1987-2011.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。