relation: https://khub.utp.edu.my/scholars/162/
title: Variable step size implementation of the Balanced Milstein method for stochastic differential equations
creator: Herdiana, R.
creator: Burrage, K.
description: The Balanced-Milstein (BM) method of strong order 1 is introduced based on the idea of the balanced-implicit (BI) method for solving stiff stochastic differential equations. We investigate the implementation of a variable step size for the BI method of strong order 1/2; and also for an embedded pair (BM, BI) method. Numerical experiment shows that variable step size implementation of the BI method does not converges to the correct solution, while the embedded (BM, BI) scheme show convergence to the Itô solution. We also consider an alternative approach by applying Richardson's extrapolation on the BM method and numerical results show better performance. ©2007 IEEE.
date: 2007
type: Conference or Workshop Item
type: PeerReviewed
identifier:   Herdiana, R. and Burrage, K.  (2007) Variable step size implementation of the Balanced Milstein method for stochastic differential equations.  In: UNSPECIFIED.     
relation: https://www.scopus.com/inward/record.uri?eid=2-s2.0-57949108558&doi=10.1109%2fICIAS.2007.4658448&partnerID=40&md5=c7c610f6f092d505c79ed9edeb14b89b
relation: 10.1109/ICIAS.2007.4658448
identifier: 10.1109/ICIAS.2007.4658448