Variable step size implementation of the Balanced Milstein method for stochastic differential equations

Herdiana R. and Burrage K. (2007). Variable step size implementation of the Balanced Milstein method for stochastic differential equations. In: 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007. 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007, Kuala Lumpur, (549-553). November 25, 2007-November 28, 2007. doi:10.1109/ICIAS.2007.4658448


Author Herdiana R.
Burrage K.
Title of paper Variable step size implementation of the Balanced Milstein method for stochastic differential equations
Conference name 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007
Conference location Kuala Lumpur
Conference dates November 25, 2007-November 28, 2007
Proceedings title 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007
Series 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007
Publication Year 2007
Sub-type Fully published paper
DOI 10.1109/ICIAS.2007.4658448
ISBN 1424413559
Start page 549
End page 553
Total pages 5
Abstract/Summary The Balanced-Milstein (BM) method of strong order 1 is introduced based on the idea of the balanced-implicit (BI) method for solving stiff stochastic differential equations. We investigate the implementation of a variable step size for the BI method of strong order 1/2; and also for an embedded pair (BM, BI) method. Numerical experiment shows that variable step size implementation of the BI method does not converges to the correct solution, while the embedded (BM, BI) scheme show convergence to the Itô solution. We also consider an alternative approach by applying Richardson's extrapolation on the BM method and numerical results show better performance.
Subjects 1702 Cognitive Sciences
2207 Control and Systems Engineering
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Conference Paper
Collection: Scopus Import
 
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Created: Wed, 27 Nov 2013, 03:13:42 EST by System User