eprintid: 162
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/00/01/62
datestamp: 2023-11-09 15:15:48
lastmod: 2023-11-09 15:15:48
status_changed: 2023-11-09 15:13:27
type: conference_item
metadata_visibility: show
creators_name: Herdiana, R.
creators_name: Burrage, K.
title: Variable step size implementation of the Balanced Milstein method for stochastic differential equations
ispublished: pub
keywords: 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
note: 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
abstract: 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
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-57949108558&doi=10.1109%2fICIAS.2007.4658448&partnerID=40&md5=c7c610f6f092d505c79ed9edeb14b89b
id_number: 10.1109/ICIAS.2007.4658448
full_text_status: none
publication: 2007 International Conference on Intelligent and Advanced Systems, ICIAS 2007
place_of_pub: Kuala Lumpur
pagerange: 549-553
refereed: TRUE
isbn: 1424413559; 9781424413553
citation:   Herdiana, R. and Burrage, K.  (2007) Variable step size implementation of the Balanced Milstein method for stochastic differential equations.  In: UNSPECIFIED.