An improved Milstein method for stiff stochastic differential equations

Abstract

To solve the stiff stochastic differential equations, we propose an improved Milstein method, which is constructed by adding an error correction term to the Milstein scheme. The correction term is derived from an approximation of the difference between the exact solution of stochastic differential equations and the Milstein continuous-time extension. The scheme is proved to be strongly convergent with order one and is as easy to implement as standard explicit schemes but much more efficient for solving stiff stochastic problems. The efficiency and the advantage of the method lie in its very large stability region. For a linear scalar test equation, it is shown that the mean-square stability domain of the method is much bigger than that of the Milstein method. Finally, numerical examples are reported to highlight the accuracy and effectiveness of the method.