Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

作者：

Highlights：

• It is easily implementable and achieves higher strong convergence order.

• The stability condition of the method and that of the solved SDEs keep uniform.

• It performs better in inheriting the stability of the exact solution of SDEs.

摘要

•It is easily implementable and achieves higher strong convergence order.•The stability condition of the method and that of the solved SDEs keep uniform.•It performs better in inheriting the stability of the exact solution of SDEs.

论文关键词：One-sided Lipschitz condition,Commutative noise,Semi-tamed Milstein method,Strong convergence,Exponential mean square stability

论文评审过程：Received 21 April 2021, Revised 12 August 2021, Accepted 20 September 2021, Available online 4 October 2021, Version of Record 4 October 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126680