%0 Conference Paper
%A Herdiana, R.
%A Burrage, K.
%D 2007
%F scholars:162
%K Approximation theory; Differential equations; Measurement theory; Stochastic control systems, Alternative approaches; Correct solutions; Embedded pairs; Numerical experiments; Numerical results; Stochastic differential equations; Variable step sizes, Convergence of numerical methods
%P 549-553
%R 10.1109/ICIAS.2007.4658448
%T Variable step size implementation of the Balanced Milstein method for stochastic differential equations
%U https://khub.utp.edu.my/scholars/162/
%X 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.
%Z cited By 0; Conference of 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007 ; Conference Date: 25 November 2007 Through 28 November 2007; Conference Code:74506