求解刚性随机系统的分步向后Milstein方法

摘要

The authors presented and analyzed split-step backward Milstein methods for solving ltd stochastic differential equations (SDEs). Two methods, a DSSBM method and an MSSBM method, were constructed based on the splitting technique. We proved that these methods are of strong order 1. The stability properties and numerical results show the effectiveness of these methods in the pathwise approximation of stiff SDEs.%提出并分析了求解刚性It(o)随机微分方程的分步向后Milstein方法, 基于分离技巧构造了DSSBM和MSSBM两种数值方法, 并证明了这两种方法都是一阶强收敛的. 通过讨论方法的数值稳定性和计算精度, 表明了所给方法在解决刚性随机系统时的优越性.