THERMAL SCIENCE

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Burhaneddin İzgi

,

Coşkun Çetin

MILSTEIN-TYPE SEMI-IMPLICIT SPLIT-STEP NUMERICAL METHODS FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH LOCALLY LIPSCHITZ DRIFT TERMS

ABSTRACT
We develop Milstein-type versions of semi-implicit split-step methods for numerical solutions of nonlinear stochastic differential equations (SDE) with locally Lipschitz coefficients. Under a one-sided linear growth condition on the drift term, we obtain some moment estimates and discuss convergence properties of these numerical methods. We compare the performance of multiple methods, including the backward Milstein, tamed Milstein and truncated Milstein procedures on nonlinear SDE including generalized stochastic Ginzburg-Landau equations. In particular, we discuss their empirical rates of convergence.
KEYWORDS
Semi implicit split-step method, nonlinear SDE, Milstein method
PAPER SUBMITTED: 2018-09-12
PAPER REVISED: 2018-10-01
PAPER ACCEPTED: 2018-10-26
PUBLISHED ONLINE: 2018-12-16
DOI REFERENCE: https://doi.org/10.2298/TSCI180912325I
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2019, VOLUME 23, ISSUE Supplement 1, PAGES [S1 - S12]
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Milstein-type semi-implicit split-step numerical methods for nonlinear stochastic differential equations with locally Lipschitz drift terms

© 2024 Society of Thermal Engineers of Serbia. Published by the Vinča Institute of Nuclear Sciences, National Institute of the Republic of Serbia, Belgrade, Serbia. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International licence