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


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İzgi B. , Cetin C.

THERMAL SCIENCE, vol.23, 2019 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 23
  • Publication Date: 2019
  • Doi Number: 10.2298/tsci180912325i
  • Title of Journal : THERMAL SCIENCE

Abstract

We develop Milstein-type versions of semi-implicit split-step methods for numerical solutions of non-linear stochastic differential equations 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 non-linear stochastic differential equations including generalized stochastic Ginzburg-Landau equations. In particular, we discuss their empirical rates of convergence.