Strong convergence of an adaptive time-stepping Milstein method for SDEs with one-sided Lipschitz drift

08/31/2019
by   Cónall Kelly, et al.
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We introduce explicit adaptive Milstein methods for stochastic differential equations with one-sided Lipschitz drift and globally Lipschitz diffusion with no commutativity condition. These methods rely on a class of path-bounded timestepping strategies which work by reducing the stepsize as solutions approach the boundary of a sphere, invoking a backstop method in the event that the timestep becomes too small. We prove that such schemes are strongly L_2 convergent of order one. This convergence order is inherited by an explicit adaptive Euler-Maruyama scheme in the additive noise case. Moreover we show that the probability of using the backstop method at any step can be made arbitrarily small. We compare our method to other fixed-step Milstein variants on a range of test problems.

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