@Article{IJNAM-9-970,
author = {S. Singh},
title = {Split-Step Forward Milstein Method for Stochastic Differential Equation},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2012},
volume = {9},
number = {4},
pages = {970--981},
abstract = {<p style="text-align: justify;">In this paper, we consider the problem of computing numerical
solutions for stochastic differential equations (SDEs) of Itô form. A fully explicit
method, the split-step forward Milstein (SSFM) method, is constructed
for solving SDEs. It is proved that the SSFM method is convergent with strong
order $\gamma=1$ in the mean-square sense. The analysis of stability shows that the
mean-square stability properties of the method proposed in this paper are an
improvement on the mean-square stability properties of the Milstein method
and three stage Milstein methods.</p>},
issn = {2617-8710},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnam/668.html}
}