Buckwar, Evelyn; Sickenberger, Thorsten - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 6, pp. 1110-1127
In this article we compare the mean-square stability properties of the θ-Maruyama and θ-Milstein method that are used to solve stochastic differential equations. For the linear stability analysis, we propose an extension of the standard geometric Brownian motion as a test equation and consider...