Search Results - subject:"Milstein method"

Efficient almost-exact Lévy area sampling

Malham, Simon J.A.; Wiese, Anke - In: Statistics & Probability Letters 88 (2014) C, pp. 50-55

We present a new method for sampling the Lévy area for a two-dimensional Wiener process conditioned on its endpoints. An efficient sampler for the Lévy area is required to implement a strong Milstein numerical scheme to approximate the solution of a stochastic differential equation driven by a...

Persistent link: https://www.econbiz.de/10011039936

A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods

Buckwar, Evelyn; Sickenberger, Thorsten - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 6, pp. 1110-1127

In this article we compare the mean-square stability properties of the θ-Maruyama and θ-Milstein method that are used … methods while the analysis is still tractable. Our findings include: (i) the stability condition for the θ-Milstein method and …-Maruyama method; (ii) the precise stability region of the θ-Milstein method explicitly depends on the noise terms. Further, we …

Persistent link: https://www.econbiz.de/10011050952