In this paper we discuss split-step forward methods for solving ItΓ΄ stochastic differential equations (SDEs). Eight fully explicit methods, the drifting split-step Euler (DRSSE) method, the diffused split-step Euler (DISSE) method and the three-stage Milstein (TSM 1a -TSM 1f) methods, are constructe
β¦ LIBER β¦
B-convergence of split-step one-leg theta methods for stochastic differential equations
β Scribed by Xiaojie Wang; Siqing Gan
- Book ID
- 107620128
- Publisher
- Springer-Verlag
- Year
- 2011
- Tongue
- English
- Weight
- 559 KB
- Volume
- 38
- Category
- Article
- ISSN
- 1598-5865
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The main purpose of this paper is to investigate the asymptotic states of one-leg methods for multidelay differential equations. In particular, the existence of spurious steady solutions and period-2 solutions in constant or variable timestep is studied, and the concepts of R[1]-regularity and R[2]-