In this paper, we propose generalized two-step Maruyama methods for solving Itô stochastic differential equations. Numerical analysis concerning consistency,convergence and numerical stability in the meansquare sense is presented. We derive sufficient and necessary conditions for linear mean-square stability of the generalized two-step Maruyama methods. We compare the stability region of the generalized two-step Maruyama methods of Adams type with that of the corresponding two-step Maruyama methods of Adams type and show that our proposed methods have better linear mean-square stability. A numerical example is given to confirm our theoretical results.

Generalized two-step Maruyama methods for stochastic differential equations

M. Carletti
2017-01-01

Abstract

In this paper, we propose generalized two-step Maruyama methods for solving Itô stochastic differential equations. Numerical analysis concerning consistency,convergence and numerical stability in the meansquare sense is presented. We derive sufficient and necessary conditions for linear mean-square stability of the generalized two-step Maruyama methods. We compare the stability region of the generalized two-step Maruyama methods of Adams type with that of the corresponding two-step Maruyama methods of Adams type and show that our proposed methods have better linear mean-square stability. A numerical example is given to confirm our theoretical results.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11576/2657392
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