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 … methods while the analysis is still tractable. Our findings include: (i) the stability condition for the θ-Milstein method and … thus, for some choices of θ, the conditions on the step-size, are much more restrictive than those for the θ …