Split-step forward methods for stochastic differential equations

✍ Scribed by Peng Wang; Yong Li

• Publisher: Elsevier Science
• Year: 2010
• Tongue: English
• Weight: 1018 KB
• Volume: 233
• Category: Article
• ISSN: 0377-0427
• DOI: 10.1016/j.cam.2009.11.010

✦ Synopsis

In this paper we discuss split-step forward methods for solving Itô 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 constructed based on Euler-Maruyama method and Milstein method, respectively, in this paper. Their order of strong convergence is proved. The analysis of stability shows that the mean-square stability properties of the methods derived in this paper are improved on the original methods. The numerical results show the effectiveness of these methods in the pathwise approximation of Itô SDEs.